Pricing and Hedging Spread Options

By René A. Carmona, Valdo Durrleman. SIAM Review, 2003

338 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/362b0a41e592aeb863bafea2ddbc74b0bab0f325

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Citations in the corpus

Closed form spread option valuation (2014, methodology): “…this, observe from equations (9) and (11) that an increase in z1 will increase the pay-off from asset 1, and push the call more in-the-money (less out-of-the-money). xThere is a typo in equation (20) of Carmona and Durleman (2003a) as well as in equation (6.3) of Carmona and Durrleman (2003b).”
A Closed Form Approach to the Valuation and Hedging of Basket and Spread Option (2007, background): “Carmona and Durrelman [2003] give a good overview of spread options and propose precise lower bounds to approximate spread option prices. Although they mention a possibility to extend their method for more than two assets, at present it can only deal with spread options. Commodity market participant”
A General Closed-Form Spread Option Pricing Formula (2013, neutral): “Carmona and Durrelman (2003a) obtain an analytical approximation formula using a family of lower bounds and propose as well an upper bound.”
General closed-form basket option pricing bounds (2016, neutral): “Examples in the lognormal framework are Rogers and Shi (1995), Thompson (1999), Carmona and Durrelman (2003) and Bjerksund and Stensland (2014).”
Tail behavior of sums and differences of log-normal random variables (2013, background): “[14] Carmona, R. and Durrleman, V. (2003).”
Multi-asset spread option pricing and hedging (2010, methodology): “A number of research works have studied the pricing of two-asset spread options, such as Jarrow and Rudd (1982), Wilcox (1990), Shimko (1994), Pearson (1995), Mbanefo (1997), Zhang (1997), and Carmona and Durrleman (2003). More recently, Li et al.”
Pricing Asset Scheduling Flexibility using Optimal Switching (2008, background): “Each such option is of the spark-spread variety; the latter have been intensively studied in classical option pricing, see, for instance, the overview of Carmona and Durrleman (2003).”