A note on closed-form spread option valuation under log-normal models
Fuente:
arXiv
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| Autori principali: | , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2021
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| _version_ | 1866910312869920768 |
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| author | Abudurexiti, Nuerxiati He, Kai Hu, Dongdong Sayit, Hasanjan |
| author_facet | Abudurexiti, Nuerxiati He, Kai Hu, Dongdong Sayit, Hasanjan |
| contents | In the papers Carmona and Durrleman [7] and Bjerksund and Stensland [1], closed form approximations for spread call option prices were studied under the log normal models. In this paper, we give an alternative closed form formula for the price of spread call options under the log-normal models also. Our formula can be seen as a generalization of the closed-form formula presented in Bjerksund and Stensland [1] as their formula can be obtained by selecting special parameter values to our formula. Numerical tests show that our formula performs better for certain range of model parameters than the closed-form formula presented in Bjerksund and Stensland [1]. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2109_05431 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | A note on closed-form spread option valuation under log-normal models Abudurexiti, Nuerxiati He, Kai Hu, Dongdong Sayit, Hasanjan Mathematical Finance 62P05 G.0 In the papers Carmona and Durrleman [7] and Bjerksund and Stensland [1], closed form approximations for spread call option prices were studied under the log normal models. In this paper, we give an alternative closed form formula for the price of spread call options under the log-normal models also. Our formula can be seen as a generalization of the closed-form formula presented in Bjerksund and Stensland [1] as their formula can be obtained by selecting special parameter values to our formula. Numerical tests show that our formula performs better for certain range of model parameters than the closed-form formula presented in Bjerksund and Stensland [1]. |
| title | A note on closed-form spread option valuation under log-normal models |
| topic | Mathematical Finance 62P05 G.0 |
| url | https://arxiv.org/abs/2109.05431 |