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A General Closed Form Approximation Pricing Formula for Basket and Multi Asset Spread Options

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Figure

Table 1. Prices of Basket Options (with M = 4, N = 0) computed for different strike prices K in the GBM model of Section 3
Table 2. Prices of Multi-Asset Spread Options (with M = 1, N = 2) computed for different strike prices K in the GBM model of Section 3
Table 3. Prices of Multi-Asset Spread Options (with M = 1, N = 2) computed for different strike prices K in the GBM model of Section 3
Table 4. Prices of Basket Options (with M = 20, N = 0) computed for different strikes K in the JD 1
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