Closed form spread option valuation

DOI10.1080/14697688.2011.617775MaRDI QIDQ5247234zbMATH OpenOpenAlexFDO

Authors Petter Bjerksund, Gunnar Stensland

Publication date 23 April 2015

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11250/164107

zbMATH Keywords

financial derivativesfinancial engineeringfinancial mathematicsfinancial modellingspread options

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Martingales and arbitrage in multiperiod securities markets
• Pricing and Hedging Spread Options
• Remarks on the equation \(dX_t=a(X_t)dB_t\).

Cited in

(28)

• Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
• On the methods of pricing American options: case study
• Pricing spread options with stochastic interest rates
• Optimal strategies with option compensation under mean reverting returns or volatilities
• Pricing of spread and exchange options in a rough jump-diffusion market
• Pricing of American lookback spread options
• A simple derivation of Kirk's approximation for spread options
• Merchant commodity storage practice revisited
• Closed form approximations for spread options
• Asymptotics beats Monte Carlo: the case of correlated local vol baskets
• Additive subordination and its applications in finance
• Bivariate normal mixture spread option valuation
• Spread and basket option pricing in a Markov-modulated Lévy framework with synchronous jumps
• 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
• On Pricing American Put Option on a Fixed Term: A Monte Carlo Approach
• Pricing renewable identification numbers under uncertainty
• Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
• The pricing of basket-spread options
• Pricing vulnerable basket spread options with liquidity risk
• An efficient unified approach for spread option pricing in a copula market model
• Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
• Closed-form approximations for spread options in Lévy markets
• Itô-Taylor expansion method of European spread option pricing for multivariate diffusions with jumps
• A closed-form approximation for pricing spread options on futures under a mean-reverting spot price model with multiscale stochastic volatility
• A note on closed-form spread option valuation under log-normal models
• Optimal dynamic commodity liquidation by joint spot and forward contracts
• A general approximate computational framework for basket spread options pricing with and without default risk

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