Chapter 22. SPREAD OPTIONS

Peter G. Zhang
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Peter G. Zhang: Vice-President, Capital Markets Research, Chase Manhattan Bank, USA

Chapter 23 in Exotic Options:A Guide to Second Generation Options, 1997, pp 479-500 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONSIMPLE SPREAD OPTIONSONE-FACTOR VS TWO-FACTOR MODELS IN PRICING SIMPLE SPREAD OPTIONSTWO-FACTOR MODEL TO PRICE SIMPLE SPREAD OPTIONSAPPROXIMATING THE PRICING FORMULA FOR SIMPLE SPREAD OPTIONSSPREAD GREEKSMULTIPLE SPREAD OPTIONSAPPROXIMATING THE EQUALLY WEIGHTED SUMSPRICING MULTIPLE SPREAD OPTIONSPRICING COMPLEX SPREAD OPTIONSSOME SPECIAL MULTIPLE SPREAD OPTIONSSUMMARY AND CONCLUSIONSQUESTIONS AND EXERCISES

Date: 1997
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