Charara, Razan (2008) *Matched Asymptotic Expansions for Valuing Spread Options.* Masters thesis, University of Oxford.

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## Abstract

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-factor and two-

factor models. In the one-factor models we assume the spread follows one of

the following processes: Geometric Brownian Motion, Ornstein-Uhlenbeck and

Arithmetic Brownian Motion. In the two-factor models, we assume the assets

follow one of these processes.

Item Type: | Thesis (Masters) |
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Subjects: | H - N > Mathematics education |

Research Groups: | Mathematical and Computational Finance Group |

ID Code: | 710 |

Deposited By: | Laura Auger |

Deposited On: | 02 Jul 2008 |

Last Modified: | 20 Jul 2009 14:23 |

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