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- May 21st, 2009, 9:28 pm
- Forum: Technical Forum
- Topic: Analytic Approximations for Spread Options
- Replies: 2
- Views: 39287
Analytic Approximations for Spread Options
Hello, wondering if anyone has implemented code based on "Analytic Approximations for Spread Options" by Carol Alexander & Aanand Venkatramanan. I can follow it until they get to the calibration section. Any help is greatly appreciated.Cheers,vesc
- May 21st, 2009, 8:10 pm
- Forum: Numerical Methods Forum
- Topic: Analytic Approximations for Spread Options
- Replies: 0
- Views: 39038
Analytic Approximations for Spread Options
Hello, wondering if anyone has implemented code based on "Analytic Approximations for Spread Options" by Carol Alexander & Aanand Venkatramanan. I can follow it until they get to the calibration section. Any help is greatly appreciated.Cheers,vesc
- May 21st, 2009, 8:01 pm
- Forum: Book And Research Paper Forum
- Topic: Analytic Approximations for Spread Options
- Replies: 1
- Views: 39279
Analytic Approximations for Spread Options
Hello, wondering if anyone has implemented code based on "Analytic Approximations for Spread Options" by Carol Alexander & Aanand Venkatramanan. I can follow it until they get to the calibration section. Any help is greatly appreciated.Cheers,vesc