Matched Asymptotic Expansions for Valuing Spread Options

Spread Options are crucial in the energy, currency and fixed income, and com- modity markets. The problem with spread options is that there are no closed- form formulae to price or hedge them. In this paper, we use matched asymptotic expansions in order to price spread options. We use both one-facto...

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Bibliographic Details
Main Author: Charara, R
Format: Thesis
Published: University of Oxford;Mathematics 2008