Mahringer, Steffen; Prokopczuk, Marcel - Henley Business School, University of Reading - 2010
In this paper, we investigate the pricing of crack spread options. The special focus is laid on the question, of … whether univariate modeling of the crack spread or explicit modeling of the two underlyings is preferable. Therefore, we … modeling the crack spread directly. Conducting an extensive empirical analysis of crude oil/heating oil and crude oil …