Charara, Razan (2008) Matched Asymptotic Expansions for Valuing Spread Options. Masters thesis, University of Oxford.
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|
|Deposited By:||Laura Auger|
|Deposited On:||02 Jul 2008|
|Last Modified:||29 May 2015 18:27|
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