Credit Spread Specification and the Pricing of Spread Options

This paper shows a simple approach to the pricing of options on spread and some arguments in favor of modelling the spread using its two components instead of the spread itself.

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Year of publication:	2000-05-01
Authors:	Mougeot, Nicolas
Publisher:	International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject:	Option \| Optionspreistheorie \| Bewertung \| Spread \| Derivat <Wertpapier> \| Black-Scholes-Modell

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Table of Contents
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1. Introduction
2. Spread specification and implications
3. A new three factor model
4. Consequences on pricing
5. Conclusion