American Spread Option Pricing with Stochastic Interest Rates
Author | : An Jiang |
Publisher | : |
Total Pages | : 149 |
Release | : 2016 |
ISBN-10 | : OCLC:975934572 |
ISBN-13 | : |
Rating | : 4/5 (72 Downloads) |
Download or read book American Spread Option Pricing with Stochastic Interest Rates written by An Jiang and published by . This book was released on 2016 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: In financial markets, spread option is a derivative security with two underlying assets and the payoff of the spread option depends on the difference of these assets. We consider American style spread option which allows the owners to exercise it at any time before the maturity. The complexity of pricing American spread option is that the boundary of the corresponding partial differential equation which determines the option price is unknown and the model for the underlying assets is two-dimensional.