点差选项:从Margrabe到Kirk

IRPN: Science Pub Date : 2020-08-05 DOI:10.2139/ssrn.3665654

S. R. Etesami

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引用次数: 1

摘要

柯克给出了价差期权价格的近似封闭解。本文是对发表在《应用数学快报》上的一篇论文的回应，在这篇论文中，作者认为从Margrabe的外汇期权公式中没有柯克近似的显式推导是可用的，也没有发表过。这里我们提供这样一个显式的推导。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Spread Options: From Margrabe to Kirk

Kirk provided an approximate closed-form solution for the price of a spread option. This paper is written in response to ref. published in Applied Mathematics Letters in which the author believes no explicit derivation of Kirk’s approximation from Margrabe’s exchange option formula is available or has ever been published. Here we provide such an explicit derivation.

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来源期刊

IRPN: Science

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