The Mathematical Institute, University of Oxford, Eprints Archive

Matched Asymptotic Expansions for Valuing Spread Options

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)
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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