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Multi asset Spread Option Pricing and Hedging

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Figure

Figure 1. The functiony A(y) near y = 0. Notice that A(y) is approximately linear in y around = 0, with some modest curvature.
Figure 2. Accuracy comparison of deltas and kappa between the extended Kirk (EK) approx-imation and the second-order boundary (SB) approximation
Figure 3. Average computing time as a function of dimensionin Monte Carlo simulation, the extended Kirk approximation and the second-order boundary N + 1 for one spread optionapproximation.
Table 1: Prices of spread options on 3 assets
+5

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