• Spread Option Valuation

    Author(s):
    Tim Xiao (see profile)
    Date:
    2021
    Group(s):
    Business Management
    Subject(s):
    Economics
    Item Type:
    Presentation
    Tag(s):
    spread option pricing
    Permanent URL:
    http://dx.doi.org/10.17613/0h4r-wm65
    Abstract:
    A spread option is an option written on the difference of two underling assets, whose values at time t we denote by S1(t) and S2(t). We consider only options of the European type for which the buyer has the right to be paid, at the maturity date T, the difference S2(T)−S1(T), known as the spread. To exercise the option, the buyer must pay at maturity a prespecified price K, known as the strike, or the exercise price of the option.
    Notes:
    https://gitlab.com/cmrm11/eqspread/-/raw/master/EqSpread-16.pdf
    Metadata:
    Status:
    Published
    Last Updated:
    2 years ago
    License:
    All-Rights-Granted

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