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 onefactor and two
factor models. In the onefactor models we assume the spread follows one of
the following processes: Geometric Brownian Motion, OrnsteinUhlenbeck and
Arithmetic Brownian Motion. In the twofactor 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:  29 May 2015 18:27 
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