Geng, Jiaer and Gong, Boyang and Zhang, Wenyi (2023) Valuation of Spread Options Based on Monte Carlo Simulation and Its Relationship with Asset Correlation. In: Proceedings of the International Conference on Financial Innovation, FinTech and Information Technology, FFIT 2022, October 28-30, 2022, Shenzhen, China.
![[thumbnail of 53602.pdf]](http://eprints.eai.eu/style/images/fileicons/application_pdf.png "53602.pdf")
PDF
53602.pdf
Download (264kB)
Abstract
Spread options are relatively young derivative products yet have a growing importance in the financial market for their frequent occurrence in energy derivatives. Two typical types of spread options are spark spreads and crack spreads. The crack spreads define the spread as the price difference betw
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 16:10 |
| Last Modified: | 17 Apr 2026 03:24 |
| URI: | http://eprints.eai.eu/id/eprint/42616 |
Actions (login required)
- View Item