Search Results - subject:"spread options"

Pirjol, Dan - In: Risks : open access journal 13 (2025) 8, pp. 1-20

volatility models. This includes the limiting case of spread options on two correlated Black-Scholes (BS) assets. We give an …

Persistent link: https://www.econbiz.de/10015448976

Markov-Modulated and Shifted Wishart processes with applications in derivatives pricing

Faraz, Behzad-Hussein Azadie; Arian, Hamid; Escobar, Marcos - In: International Journal of Financial Studies : open … 13 (2025) 2, pp. 1-31

characteristic functions. We also estimate the parameters and evaluate the price of Spread options via the Fourier transform under …

Persistent link: https://www.econbiz.de/10015435445

Spread option pricing under finite liquidity framework

Pirvu, Traian A.; Zhang, Shuming - In: Risks : open access journal 12 (2024) 11, pp. 1-14

This work explores a finite liquidity model to price spread options and assess the liquidity impact. We employ Kirk … delta hedging of a large investor. Our main contribution is a novel methodology to price spread options in this paradigm …

Persistent link: https://www.econbiz.de/10015135789

Intermittently coupled electricity markets

Pierre, Erwan; Schneider, Lorenz - In: Energy economics 130 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014559257

Pricing basket spread options with default risk under GARCH-jump models

Dong, Dingding; Qian, Xianda; Wang, Xingchun - In: The journal of futures markets 45 (2025) 5, pp. 441-454

Persistent link: https://www.econbiz.de/10015376678

A note on closed-form spread option valuation under log-normal models

Abudurexiti, Nuerxiati; He, Kai; Hu, Dongdong; Sayit, … - In: Quantitative finance 25 (2025) 1, pp. 143-160

Persistent link: https://www.econbiz.de/10015534070

Pricing and risk management of multi-assets financial instruments to natural disasters

Chang, Jui-Jane; Huang, Pao-Hsien; Wu, Ting-Pin - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 1, pp. 19-43

Persistent link: https://www.econbiz.de/10014444330

Valuation of spread options under correlated skew Brownian motions

Song, Shiyu; Wang, Xingchun; Zhang, Xiaowen - In: The European journal of finance 30 (2024) 5, pp. 503-523

Persistent link: https://www.econbiz.de/10014547897

Correlating Lévy processes with self-decomposability : applications to energy markets

Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 1253-1280

Persistent link: https://www.econbiz.de/10012795133

An analytical GARCH valuation model for spread options with default risk

Song, Shiyu; Tang, Dan; Xu, Guangli; Yin, Xunbai - In: International review of economics & finance : IREF 83 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014239894

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