An article about the Carmona-Durrleman approximation to price and hedge spread options using Monte-Carlo simulations. It is based on the original publication Pricing and hedging spread options (2003) by René Carmona et Valdo Durrleman and includes C++ based numerical outputs.
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An applied reproduction project on Spread option pricing and hedging using the Carmona-Durrleman approximation based on research papers.
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