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Research Papers

Closed form spread option valuation

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Pages 1785-1794 | Received 25 Jan 2008, Accepted 18 Aug 2011, Published online: 03 Nov 2011

References

  • Black , F . 1976 . The pricing of commodity contracts . J. Financ. Econ. , 3 : 167 – 179 .
  • Carmona , R and Durrleman , V . 2003a . Pricing and hedging spread options in a log-normal model. Technical Report, Department of Operations Research and Financial Engineering, Princeton University
  • Carmona , R and Durrleman , V . 2003b . Pricing and hedging spread options . SIAM Rev. , 45 ( 4 ) : 627 – 685 .
  • Cox , J and Ross , S . 1976 . The valuation of options for alternative stochastic processes . J. Financ. Econ. , 3 : 145 – 166 .
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  • Harrison , JM and Pliska , S . 1981 . Martingales and stochastic integrals in the theory of continuous trading . Stochast. Process. Applic. , 11 : 313 – 316 .
  • Kirk , E . 1995 . “ Correlation in the energy markets ” . In In Managing Energy Price Risk, , 1st , 71 – 78 . London : Risk Publications and Enron .
  • Margrabe , W . 1978 . The value of an option to exchange one asset for another . J. Finance , 33 : 177 – 186 .

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