Pricing and Hedging Spread Options
From MaRDI portal
Publication:4442840
DOI10.1137/S0036144503424798zbMath1033.60069MaRDI QIDQ4442840
Valdo Durrleman, René A. Carmona
Publication date: 20 January 2004
Published in: SIAM Review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0036144503424798
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
A mixed C-vine copula model for hedging price and volumetric risk in wind power trading, An Exact Formula for Pricing American Exchange Options with Regime Switching, Bivariate normal mixture spread option valuation, Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps, Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk, Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model, Unnamed Item, Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework, Revisiting linear and lognormal stochastic volatility models, On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation, General closed-form basket option pricing bounds, Analytic approximation formulae for European crack spread options, Pricing renewable identification numbers under uncertainty, Representation of exchange option prices under stochastic volatility jump-diffusion dynamics, PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS, Multivariate Lévy processes with dependent jump intensity, Closed form spread option valuation, The pricing of basket-spread options, ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK, PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES, Algorithms for Finding Copulas Minimizing Convex Functions of Sums, A new method for generating approximation algorithms for financial mathematics applications, The valuation of clean spread options: linking electricity, emissions and fuels, Tail behavior of sums and differences of log-normal random variables, Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables, Lower bound approximation of nonlinear basket option with jump-diffusion, The hexanomial lattice for pricing multi-asset options, Additive subordination and its applications in finance, A note on the pricing of multivariate contingent claims under a transformed-gamma distribution, On the control of the difference between two Brownian motions: a dynamic copula approach, On the control of the difference between two Brownian motions: an application to energy markets modeling, Electricity price modeling and asset valuation: a multi-fuel structural approach, Unbiased and efficient Greeks of financial options, Computing lower bounds on basket option prices by discretizing semi-infinite linear programming, An analytic valuation method for multivariate contingent claims with regime-switching volatilities, Pricing basket options by polynomial approximations, Measuring exposure to dependence risk with random Bernstein copula scenarios, Model risk and discretisation of locally risk-minimising strategies, Multi-layer model of correlated energy prices, Pricing and hedging Asian basket spread options, Valuing virtual production capacities on flow commodities, Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios, Operator trigonometry of multivariate finance, An efficient method for solving spread option pricing problem: numerical analysis and computing, Pricing spread options with stochastic interest rates, The sum and difference of two lognormal random variables, Stochastic volatility effects on correlated log-normal random variables, A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models, Pricing of spread and exchange options in a rough jump-diffusion market, Algorithm of calculation of combined commodity options value, Oil futures volatility smiles in 2020: why the Bachelier smile is flatter, A simple derivation of Kirk's approximation for spread options, A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions, FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS, Merchant Commodity Storage Practice Revisited, Stochastic Volatility and Dependency in Energy Markets: Multi-Factor Modelling, Pricing American options written on two underlying assets, Closed Form Approximations for Spread Options, A generalized variance gamma process for financial applications, A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE, Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets, Pricing of Asian-Type and Basket Options via Bounds, Transmission Valuation Analysis based on Real Options with Price Spikes, Representation and approximation of ambit fields in Hilbert space, Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach, PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS, Pricing Asset Scheduling Flexibility using Optimal Switching, Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion
