Pricing and Hedging Spread Options

  title={Pricing and Hedging Spread Options},
  author={Ren{\'e} A. Carmona and Valdo Durrleman},
  journal={SIAM Rev.},
We survey theoretical and computational problems associated with the pricing and hedging of spread options. These options are ubiquitous in the financial markets, whether they be equity, fixed income, foreign exchange, commodities, or energy markets. As a matter of introduction, we present a general overview of the common features of all spread options by discussing in detail their roles as speculation devices and risk management tools. We describe the mathematical framework used to model them… Expand
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