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Multi-Asset Spread Option Pricing and Hedging
10 references·3 citing·38 second hop
Multi-Asset Spread Option Pricing and Hedging (2007)Multi-Asset Spread Option Pricing and Hed…Closed-Form Approximations for Spread Option Prices and Greeks (2008)Closed-Form Approximations fo…Generalizing the Black–Scholes formula to multivariate contingent claims (2005)Generalizing the Black–Schole…Pricing and Hedging Spread Options (2003)Pricing and Hedging Spread Op…Exotic electricity options and the valuation of electricity generation and transmission assets (2001)Exotic electricity options an…Indexed executive stock options (2000)Indexed executive stock optio…An Efficient Approach for Pricing Spread Options (1995)An Efficient Approach for Pri…Options on futures spreads: Hedging, speculation, and valuation (1994)Options on futures spreads: H…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets (2013)Asymptotics Beats Monte Carlo…Closed Form Approximations for Spread Options (2011)Closed Form Approximations fo…Closed-Form Approximations for Spread Option Prices and Greeks (2006)Closed-Form Approximations fo…Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)A Quick Algorithm for Pricing European Average Options (1991)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Optimal Portfolio Choice under Loss Aversion (2004)Theory of Rational Option Pricing (1973)An equilibrium characterization of the term structure (1977)Spread options, exchange options, and arithmetic Brownian motion (1998)Non-Parametric Pricing of Multivariate Contingent Claims (2003)Long term spread option valuation and hedging (2008)Moral Hazard and Observability (1979)Performance Pay and Top-Management Incentives (1990)The Valuation of Executive Stock Options in an Intensity-Based Framework (2000)Options, Option Repricing and Severance Packages in Managerial Compensation: Their Effects on Corporate Risk (2003)“Options, Futures, and Other Derivatives” (2016)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Fourier space time-stepping for option pricing with Lévy models (2008)A Fourier Transform Method for Spread Option Pricing (2010)An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation (2010)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Investment Under Uncertainty. (1994)Emissions trading and investment decisions in the power sector—a case study in Finland (2004)The use of real options approach in energy sector investments (2011)Real Options versus Traditional Methods to assess Renewable Energy Projects (2014)An Intertemporal Capital Asset Pricing Model (1973)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Arbitrage Theory in Continuous Time (2004)Changes of numéraire, changes of probability measure and option pricing (1995)A General Closed-Form Spread Option Pricing Formula (2013)Gas storage valuation and optimization (2015)Pricing multivariate contingent claims using estimated risk–neutral density functions (1998)Principal components analysis for correlated curves and seasonal commodities: The case of the petroleum market (2002)Solving BSDE with Adaptive Control Variate (2010)Finite-Element Methods (2012)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1982Approximate option valuation for arbitrary stochastic processes608 cited
  • 2003Pricing and Hedging Spread Options338 cited
  • 2001Exotic electricity options and the valuation of electricity generation and transmission assets253 cited
  • 2000Indexed executive stock options158 cited
  • 2008Closed-Form Approximations for Spread Option Prices and Greeks102 cited
  • 1994Options on futures spreads: Hedging, speculation, and valuation86 cited
  • 2005Generalizing the Black–Scholes formula to multivariate contingent claims72 cited
  • 1995An Efficient Approach for Pricing Spread Options58 cited

Cited by

  • 2011Closed Form Approximations for Spread Options45 cited
  • 2013Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets35 cited
  • 2006Closed-Form Approximations for Spread Option Prices and Greeks30 cited

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