Thesis
Matched Asymptotic Expansions for Valuing Spread Options
- Abstract:
- 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.
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- Files:
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(Preview, pdf, 202.6KB, Terms of use)
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Authors
- Publisher:
- University of Oxford;Mathematics
- Publication date:
- 2008-06-01
- Type of award:
- DPhil
- Level of award:
- Doctoral
- UUID:
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uuid:18195423-8433-49a9-bb75-4296199cac76
- Local pid:
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oai:eprints.maths.ox.ac.uk:710
- Deposit date:
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2011-05-19
- ARK identifier:
Terms of use
- Copyright holder:
- Charara, R
- Copyright date:
- 2008
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