Closed form approximations for spread options

DOI10.1080/1350486X.2011.567120MaRDI QIDQ2889600zbMATH OpenOpenAlexFDO

Authors Aanand Venkatramanan, Carol Alexander

Publication date 8 June 2012

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2011.567120

zbMATH Keywords

American optionsspread optionsanalytical approximationexchange optionscorrelation skewKirk's approximation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

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Cites work

• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Optimal Stopping and the American Put
• Pricing and Hedging Spread Options

Cited in

(14)

• Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
• Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
• New analytic approximations for pricing spread options
• Closed-form approximations for spread options in Lévy markets
• Bivariate normal mixture spread option valuation
• Multi-asset spread option pricing and hedging
• Closed form spread option valuation
• A simple derivation of Kirk's approximation for spread options
• Additive subordination and its applications in finance
• Analytic approximation formulae for European crack spread options
• Pricing basket options by polynomial approximations
• A Monte Carlo multi-asset option pricing approximation for general stochastic processes
• An exact formula for pricing American exchange options with regime switching
• The pricing of basket-spread options

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