Multi-Asset Spread Option Pricing and Hedging
نویسندگان
چکیده
منابع مشابه
Pricing and Hedging Spread Options
We survey the theoretical and the computational problems associated with the pricing of spread options. These options are ubiquitous in the financial markets, whether they be equity, fixed income, foreign exchange, commodities, or energy markets. As a matter of introduction, we present a general overview of the common features of all the spread options by discussing in detail their roles as spe...
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We consider the problem of option pricing and hedging when stock returns are correlated in time. Within a quadratic–risk minimisation scheme, we obtain a general formula, valid for weakly correlated non–Gaussian processes. We show that for Gaussian price increments, the correlations are irrelevant, and the Black–Scholes formula holds with the volatility of the price increments on the scale of t...
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This paper investigates the valuation and hedging of spread options on two commodity prices which in the long run are cointegrated. For long term option pricing the spread between the two prices should therefore be modelled directly. This approach offers significant advantages relative to the traditional multi-factor spread option pricing model since the correlation between two asset returns is...
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Abstract In this paper we consider the problem of pricing a general Asian basket spread option. We develop approximations formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. We also give the Greeks for our proposed methods. ...
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Numeraire invariance is a well-known technique in option pricing and hedging theory. It takes a convenient asset as the numeraire, as if it were the medium of exchange, and expresses all other asset and option prices in units of this numeraire. Since the price of the numeraire relative to itself is identically 1 at all times, this reduces pricing and hedging to a market with zero-interest rates...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1025436