{"title":"Spread Options: From Margrabe to Kirk","authors":"S. R. Etesami","doi":"10.2139/ssrn.3665654","DOIUrl":null,"url":null,"abstract":"Kirk provided an approximate closed-form solution for the price of a spread option. This paper is written in response to ref. published in Applied Mathematics Letters in which the author believes no explicit derivation of Kirk’s approximation from Margrabe’s exchange option formula is available or has ever been published. Here we provide such an explicit derivation.","PeriodicalId":198407,"journal":{"name":"IRPN: Science","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"IRPN: Science","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3665654","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
Kirk provided an approximate closed-form solution for the price of a spread option. This paper is written in response to ref. published in Applied Mathematics Letters in which the author believes no explicit derivation of Kirk’s approximation from Margrabe’s exchange option formula is available or has ever been published. Here we provide such an explicit derivation.
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