Pricing and Hedging Spread Options
From MaRDI portal
Publication:4442840
DOI10.1137/S0036144503424798zbMath1033.60069OpenAlexW2022783590MaRDI QIDQ4442840
Valdo Durrleman, René A. Carmona
Publication date: 20 January 2004
Published in: SIAM Review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0036144503424798
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (68)
The hexanomial lattice for pricing multi-asset options ⋮ Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables ⋮ Closed Form Approximations for Spread Options ⋮ A generalized variance gamma process for financial applications ⋮ Algorithm of calculation of combined commodity options value ⋮ Additive subordination and its applications in finance ⋮ A note on the pricing of multivariate contingent claims under a transformed-gamma distribution ⋮ Multi-layer model of correlated energy prices ⋮ A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE ⋮ Pricing and hedging Asian basket spread options ⋮ Lower bound approximation of nonlinear basket option with jump-diffusion ⋮ On the control of the difference between two Brownian motions: a dynamic copula approach ⋮ On the control of the difference between two Brownian motions: an application to energy markets modeling ⋮ A mixed C-vine copula model for hedging price and volumetric risk in wind power trading ⋮ Valuing virtual production capacities on flow commodities ⋮ Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets ⋮ Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach ⋮ An Exact Formula for Pricing American Exchange Options with Regime Switching ⋮ Oil futures volatility smiles in 2020: why the Bachelier smile is flatter ⋮ Electricity price modeling and asset valuation: a multi-fuel structural approach ⋮ Pricing renewable identification numbers under uncertainty ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ An efficient method for solving spread option pricing problem: numerical analysis and computing ⋮ A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models ⋮ Pricing of Asian-Type and Basket Options via Bounds ⋮ An analytic valuation method for multivariate contingent claims with regime-switching volatilities ⋮ Representation of exchange option prices under stochastic volatility jump-diffusion dynamics ⋮ ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK ⋮ Bivariate normal mixture spread option valuation ⋮ Transmission Valuation Analysis based on Real Options with Price Spikes ⋮ Representation and approximation of ambit fields in Hilbert space ⋮ Unnamed Item ⋮ Pricing spread options with stochastic interest rates ⋮ PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES ⋮ Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps ⋮ Unbiased and efficient Greeks of financial options ⋮ PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS ⋮ Pricing basket options by polynomial approximations ⋮ Computing lower bounds on basket option prices by discretizing semi-infinite linear programming ⋮ The sum and difference of two lognormal random variables ⋮ A new method for generating approximation algorithms for financial mathematics applications ⋮ The valuation of clean spread options: linking electricity, emissions and fuels ⋮ FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS ⋮ Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk ⋮ PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS ⋮ Measuring exposure to dependence risk with random Bernstein copula scenarios ⋮ Merchant Commodity Storage Practice Revisited ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model ⋮ Model risk and discretisation of locally risk-minimising strategies ⋮ Tail behavior of sums and differences of log-normal random variables ⋮ Pricing Asset Scheduling Flexibility using Optimal Switching ⋮ Stochastic volatility effects on correlated log-normal random variables ⋮ Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios ⋮ Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework ⋮ Revisiting linear and lognormal stochastic volatility models ⋮ Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion ⋮ Multivariate Lévy processes with dependent jump intensity ⋮ Stochastic Volatility and Dependency in Energy Markets: Multi-Factor Modelling ⋮ Closed form spread option valuation ⋮ The pricing of basket-spread options ⋮ 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 ⋮ Analytic approximation formulae for European crack spread options ⋮ Operator trigonometry of multivariate finance ⋮ Pricing of spread and exchange options in a rough jump-diffusion market ⋮ Algorithms for Finding Copulas Minimizing Convex Functions of Sums ⋮ A simple derivation of Kirk's approximation for spread options ⋮ Pricing American options written on two underlying assets
This page was built for publication: Pricing and Hedging Spread Options
