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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2021
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2109.02872 |
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| _version_ | 1866913217483112448 |
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| author | Hu, Dongdong Sayit, Hasanjan Rachev, Svetlozar T. |
| author_facet | Hu, Dongdong Sayit, Hasanjan Rachev, Svetlozar T. |
| contents | The paper Borovkova et al. [4] uses moment matching method to obtain closed form formulas for spread and basket call option prices under log normal models. In this note, we also use moment matching method to obtain semi-closed form formulas for the price of spread options under exponential Lévy models with mean-variance mixture. Unlike the semi-closed form formulas in Caldana and Fusai [5], where spread prices were expressed by using Fourier inversion formula for general price dynamics, our formula expresses spread prices in terms of the mixing distribution. Numerical tests show that our formulas give accurate spread prices also |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2109_02872 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture Lévy Motions Hu, Dongdong Sayit, Hasanjan Rachev, Svetlozar T. Pricing of Securities C02, C60, D40 The paper Borovkova et al. [4] uses moment matching method to obtain closed form formulas for spread and basket call option prices under log normal models. In this note, we also use moment matching method to obtain semi-closed form formulas for the price of spread options under exponential Lévy models with mean-variance mixture. Unlike the semi-closed form formulas in Caldana and Fusai [5], where spread prices were expressed by using Fourier inversion formula for general price dynamics, our formula expresses spread prices in terms of the mixing distribution. Numerical tests show that our formulas give accurate spread prices also |
| title | Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture Lévy Motions |
| topic | Pricing of Securities C02, C60, D40 |
| url | https://arxiv.org/abs/2109.02872 |