Webbläsaren som du använder stöds inte av denna webbplats. Alla versioner av Internet Explorer stöds inte längre, av oss eller Microsoft (läs mer här: * https://www.microsoft.com/en-us/microsoft-365/windows/end-of-ie-support).

Var god och använd en modern webbläsare för att ta del av denna webbplats, som t.ex. nyaste versioner av Edge, Chrome, Firefox eller Safari osv.

Closed Form Valuation of Three-Asset Spread Options With a view towards Clean Dark Spreads

In English

Författare

  • Rikard Green

Summary, in English

We perform a slight generalization of the Bjerksund and Stensland (2011) spread option valuation formula to cover three-asset spread options. We investigate the pricing performance of the model against the corresponding version of the Kirk formula and the true price calculated with Monte Carlo methods. The numerical setting of the evaluation is designed to mimic a real market situation in the German OTC market for clean dark spread options.The results show that both models give similar and accurate price estimates (compared to the true option price). Comparing the performance between the models we conclude that the three-asset Bjerksund-Stensland formula performs marginally better compared to the three-asset Kirk formula (counting the number of test cases with the lowest absolute pricing error against the true option price).

Publiceringsår

2015

Språk

Engelska

Volym

2015

Issue

3

Dokumenttyp

Working paper

Förlag

Knut Wicksell Working Paper

Ämne

  • Economics and Business

Nyckelord

  • Spread options
  • Financial derivatives
  • Energy markets
  • Clean dark spreads

Status

Unpublished