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.



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:29 May 2015 18:27

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