Spread Option Pricing Method Based on Nonparametric Predictive Inference Copula
Sign Up to like & getrecommendations! Published in 2025 at "Journal of Forecasting"
DOI: 10.1002/for.3262
Abstract: This paper introduces a novel spread option pricing model, the nonparametric predictive inference–based copula spread option model (NPIC‐SOM), designed to evaluate the interdependence of multiple underlying assets. Through empirical analysis focused on Brent‐WTI spread options,… read more here.
Keywords: spread option; option pricing; npic som; option ... See more keywords
Spread Option Pricing Under Finite Liquidity Framework
Sign Up to like & getrecommendations! Published in 2024 at "Risks"
DOI: 10.3390/risks12110173
Abstract: This work explores a finite liquidity model to price spread options and assess the liquidity impact. We employ Kirk approximation for computing the spread option price and its delta. The latter is needed since the… read more here.
Keywords: finite liquidity; liquidity; price; spread option ... See more keywords