Closed-form approximations for spread options in Lévy markets

DOI10.1002/ASMB.2391MaRDI QIDQ6574591FDO

Authors Jente Van Belle, Steven Vanduffel, Jing Yao

Publication date 18 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

Gaussian quadratureconditional expectationstochastic clockMargrabe's formulaLévy markets

Mathematics Subject Classification ID

Statistics (62-XX)

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• A Fourier transform method for spread option pricing
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• A multivariate jump-driven financial asset model
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• Closed form approximations for spread options
• Closed form spread option valuation
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• Pricing and Hedging Spread Options
• Pricing and hedging Asian basket spread options
• Pricing of arithmetic basket options by conditioning.
• Processes of normal inverse Gaussian type
• Stock returns and hyperbolic distributions
• Suboptimal Kronrod extension formulae for numerical quadrature
• The Variance Gamma Process and Option Pricing
• The hurdle-race problem.
• The valuation of structured products using Markov chain models
• The value of an Asian option
• Unbounded liabilities, capital reserve requirements and the taxpayer put option
• Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets

Cited in

(3)

• Pricing airbag option via first passage time approach
• An efficient unified approach for spread option pricing in a copula market model
• On the sensitivity analysis of spread options using Malliavin calculus

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