Pirvu, Traian A.; Zhang, Shuming - In: Risks : open access journal 12 (2024) 11, pp. 1-14
. Kirk approximation in conjunction with Monte Carlo simulations yields the spread option prices. Moreover, the antithetic …This work explores a finite liquidity model to price spread options and assess the liquidity impact. We employ Kirk … approximation for computing the spread option price and its delta. The latter is needed since the liquidity impact is caused by the …