Page 42 - 34-1
P. 42

Valuation of Spread and Basket Options




                        processes. Journal of Financial Economics, 10 (3): 347-369. https://doi.
                        org/10.1016/0304-405X(82)90007-1
               Jaskowski, M., and Rettl, D. A. 2023. Information acquisition costs and credit spreads.
                        Journal of Banking & Finance, 149, Article 106775. https://doi.org/10.1016/
                        j.jbankfin.2023.106775

               Johnson, N. L. 1949. Systems of frequency curves generated by methods of translation.
                        Biometrika, 36 (1-2): 149-176. https://doi.org/10.2307/2332539
               Ju, N. 2002. Pricing Asian and basket options via Taylor expansion.  Journal of
                        Computational Finance, 5 (3): 79-103. https://doi.org/10.21314/JCF.2002.088

               Kan, K. H. 2017. A simple closed-form formula for pricing basket options. The Journal of
                        Derivatives, 25 (1): 104-110. https://doi.org/10.3905/jod.2017.25.1.104
               Kendall, M., and Stuart, A. 1977. The Advanced Theory of Statistics. Vol. 1: Distribution
                        Theory. New York, NY: Macmillan.
               Kijima, M., and Muromachi, Y. 2001. Pricing equity swaps in a stochastic interest rate

                        economy. The Journal of Derivatives, 8 (4): 19-35. https://doi.org/10.3905/
                        jod.2001.319160
               Kirk, E. 1995. Correlations in the energy markets. In Kaminski. V. (Eds.), Managing
                        Energy Price Risk: 71-78. London, UK: Risk Publications.

               Levy, E. 1992. Pricing European average rate currency options. Journal of International
                        Money and Finance,  11  (5):  474-491.  https://doi.org/10.1016/0261-
                        5606(92)90013-N
               Li, M., Deng, S. J., and Zhou, J. 2008. Closed-form approximations for spread option
                        prices and Greeks. The Journal of Derivatives, 15 (3): 58-80. https://doi.
                        org/10.3905/jod.2008.702506
               Li, M., Zhou, J., and Deng, S. J. 2010. Multi-asset spread option pricing

                        and hedging.  Quantitative Finance,  10  (3):  305-324.  https://doi.
                        org/10.1080/14697680802626323
               Lin, B. H., Chung, S. L., and Yeh, S. K. 2016. Review and prospects of Taiwan derivatives
                        research: Pricing, hedging, and arbitrage. NTU Management Review, 27 (1):
                        255-304. https://doi.org/10.6226/NTUMR.2016.AUG.25104-008

               ________ . 2017. Review and prospects of Taiwan derivatives research: Empirical studies
                        and applications. NTU Management Review, 27 (2): 211-258. https://doi.
                        org/10.6226/NTUMR.2017.AUG.25104-011


                                                      34
   37   38   39   40   41   42   43   44   45   46   47