New analytic approximations for pricing spread options

MaRDI QIDQ4925747zbMATH OpenFDO

Authors John van der Hoek, Małgorzata Wiktoria Korolkiewicz

Publication date 12 June 2013

zbMATH Keywords

approximationsgeometric Brownian motionsnumerical implementationrisk-neutral probability measurespread options

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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• Analytic approximation formulae for European crack spread options
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• Analytical Approximation for the Price Dynamics of Spark Spread Options
• An efficient unified approach for spread option pricing in a copula market model

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