期刊名称：Finance Publications / Centre for Financial Research, Cambridge University
出版年度：2006
卷号：2006
出版社：Cambridge University
摘要：This paper investigates the valuation and hedging of spread options on two
commodity prices which in the long run are cointegrated. For long term option pricing
the spread between the two prices should therefore be modelled directly. This
approach offers significant advantages relative to the traditional multi-factor spread
option pricing model since the correlation between two asset returns is notoriously
hard to model. In this paper, we propose one and two factor models for spot spread
processes under both the risk-neutral and market measures. We develop pricing and
hedging formulae for options on spot and futures spreads. Two examples of spread
options in energy markets—the crack spread between heating oil and WTI crude oil
and the location spread between Brent blend and WTI crude oil – are analyzed to
illustrate the results.
关键词：spread option, cointegration, mean-reversion, option pricing, energy
markets
Loading...
