Zhang, Shuming; Pirvu, Traian A. - In: Risks : open access journal 13 (2025) 7, pp. 1-15
This paper enhances the calibration procedure for pricing spread options with liquidity risk. The novelty is the use of Chebyshev interpolation to fit the prices.Numerical experiments reveal that the calibrated parameters are close to the ones obtained by a previous work. However, the fit...