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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Extent:	26 p. application/pdf
Series:	International Center for Financial Asset Management and Engineering - FAME Research Paper Series Arbeitspapiere ; 14 (2000)
Type of publication:	Book / Working Paper
Language:	English
Classification:	G13 - Contingent Pricing; Futures Pricing ; Financial theory ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005843219