Analytic approximation formulae for European crack spread options

DOI10.1080/14697688.2015.1070959zbMath1468.91174OpenAlexW2204832207MaRDI QIDQ5001166

Mohammed A. Aba Oud, Joanna M. Goard

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1070959

zbMATH Keywords

options on oilcrack spread optionsoptions valuation

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Fundamental solutions to Kolmogorov equations via reduction to canonical form
• Closed Form Approximations for Spread Options
• Pricing and Hedging Spread Options

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