Ye, Yujing (2023) Crush Spread Pricing and Sensitivity Analysis. In: Proceedings of the International Conference on Financial Innovation, FinTech and Information Technology, FFIT 2022, October 28-30, 2022, Shenzhen, China.
![[thumbnail of 53573.pdf]](http://eprints.eai.eu/style/images/fileicons/application_pdf.png "53573.pdf")
PDF
53573.pdf
Download (453kB)
Abstract
The spread options are widely used in commodities market and one of the most notable options is crush spread. This paper investigates the spread option pricing based on Black-Scholes model and Monte-Carlo simulation in terms of 1 year soybean and soybean oil futures data from Chicago Board of Trade
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 16:10 |
| Last Modified: | 17 Apr 2026 03:25 |
| URI: | http://eprints.eai.eu/id/eprint/42587 |
Actions (login required)
- View Item