Request Rejected This page is unavailable due to either geographic restrictions or other restrictions in place at this time. NOTE: other restrictions can be a result of our security platform detecting potential malicious activity. Please try again later as the restrictions may be lifted, or contact your service provider if the issue persists.ID: 1218822701390279. Provide feedback about this page. We will also consider the role that some of these asset classes played during the financial crisis.
There is a long history of approximation methods for computing such products, but as yet there is no preferred approach that is accurate, efficient, and flexible enough to apply in general asset models. The present paper introduces a new formula for general spread option pricing based on Fourier analysis of the payoff function. Our detailed investigation, including a flexible and general error analysis, proves the effectiveness of a fast Fourier transform implementation of this formula for the computation of spread option prices.
It is found to be easy to implement, stable, efficient, and applicable in a wide variety of asset pricing models.
Option pricing mathematical models and computation art