Spread option pricing using ADI methods

2017 ◽  
Author(s):  
Vida Heidarpour-Dehkordi ◽  
Christina Christara
Keyword(s):  
Option Pricing ◽  
Spread Option ◽  
Adi Methods

scholarly journals Multi-Asset Spread Option Pricing and Hedging

2007 ◽  
Author(s):  
Minqiang Li ◽  
Shijie Deng ◽  
Jieyun Zhou
Keyword(s):  
Option Pricing ◽  
Spread Option

scholarly journals A General Closed-Form Spread Option Pricing Formula

2013 ◽  
Author(s):  
Ruggero Caldana ◽  
Gianluca Fusai
Keyword(s):  
Option Pricing ◽  
Closed Form ◽  
Spread Option ◽  
Pricing Formula

scholarly journals A Fourier Transform Method for Spread Option Pricing

2010 ◽  
Vol 1 (1) ◽  
pp. 142-157 ◽  
Author(s):  
T. R. Hurd ◽  
Zhuowei Zhou
Keyword(s):  
Fourier Transform ◽  
Option Pricing ◽  
Transform Method ◽  
Fourier Transform Method ◽  
Spread Option

scholarly journals Integrated EUA and CER Price Modeling and Application for Spread Option Pricing

2011 ◽  
Author(s):  
Pauline M. Barrieu ◽  
Max Fehr
Keyword(s):  
Option Pricing ◽  
Spread Option

Robust Spread Option Pricing

2014 ◽  
Author(s):  
Ilya Kolpakov
Keyword(s):  
Option Pricing ◽  
Spread Option

On multi-asset spread option pricing in a Wick–Itô–Skorohod integral framework

2017 ◽  
Vol 58 ◽  
pp. 386
Author(s):  
Xiangxing Tao ◽  
Yafeng Shi
Keyword(s):  
Option Pricing ◽  
Skorohod Integral ◽  
Spread Option

scholarly journals Pricing Spread Options with Stochastic Interest Rates

2014 ◽  
Vol 2014 ◽  
pp. 1-11 ◽  
Author(s):  
Yunguo Jin ◽  
Shouming Zhong
Keyword(s):  
Option Pricing ◽  
Interest Rates ◽  
Stock Returns ◽  
Grid Method ◽  
Pricing Models ◽  
Stochastic Interest Rates ◽  
Spread Options ◽  
Asset Pricing Models ◽  
Stochastic Interest ◽  
Spread Option

Although spread options have been extensively studied in the literature, few papers deal with the problem of pricing spread options with stochastic interest rates. This study presents three novel spread option pricing models that permit the interest rates to be random. The paper not only presents a good approach to formulate spread option pricing models with stochastic interest rates but also offers a new test bed to understand the dynamics of option pricing with interest rates in a variety of asset pricing models. We discuss the merits of the models and techniques presented by us in some asset pricing models. Finally, we use regular grid method to the calculation of the formula when underlying stock returns are continuous and a mixture of both the regular grid method and a Monte Carlo method to the one when underlying stock returns are discontinuous, and sensitivity analyses are presented.

scholarly journals A two-factor cointegrated commodity price model with an application to spread option pricing

2017 ◽  
Vol 77 ◽  
pp. 249-268 ◽  
Author(s):  
Walter Farkas ◽  
Elise Gourier ◽  
Robert Huitema ◽  
Ciprian Necula
Keyword(s):  
Option Pricing ◽  
Commodity Price ◽  
Price Model ◽  
Spread Option

scholarly journals American Basket and Spread Option Pricing by a Simple Binomial Tree

2012 ◽  
Vol 19 (4) ◽  
pp. 29-38 ◽  
Author(s):  
S.A. Borovkova ◽  
F.J. Permana ◽  
J.A.M. van der Weide
Keyword(s):  
Option Pricing ◽  
Binomial Tree ◽  
Spread Option
Sign in / Sign up

Export Citation Format

Share Document