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• W574433368 abstract "American Spread Option Models and Valuation Yu Hu Department of Mathematics, BYU Doctor of Philosophy Spread options are derivative securities, which are written on the difference between the values of two underlying market variables. They are very important tools to hedge the correlation risk. American style spread options allow the holder to exercise the option at any time up to and including maturity. Although they are widely used to hedge and speculate in financial market, the valuation of the American spread option is very challenging. Because even under the classic assumptions that the underlying assets follow the log-normal distribution, the resulting spread doesn’t have a distribution with a simple closed formula. In this dissertation, we investigate the American spread option pricing problem. Several approaches for the geometric Brownian motion model and the stochastic volatility model are developed. We also implement the above models and the numerical results are compared among different approaches." @default.
• W574433368 created "2016-06-24" @default.
• W574433368 creator A5029458772 @default.
• W574433368 date "2013-01-01" @default.
• W574433368 modified "2023-09-23" @default.
• W574433368 title "American Spread Option Models and Valuation" @default.
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• W574433368 hasPublicationYear "2013" @default.
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