Concepedia

Spread Option Pricing

Spread Option Pricing is a derivative valuation methodology that belongs to the class of multi-asset option pricing models and is distinguished by its focus on determining the fair value of an option whose payoff depends on the price difference between two underlying assets.

55

Publications

2.5K

Citations

105

Authors

78

Institutions

Publications per year

2017–2026

9

Parents

Publications

55

Pricing and Hedging Spread Options

René Carmona, Valdo Durrleman · SIAM Review · 2003 · 359 citations

, , +17

The Valuation of American Options on Multiple Assets

Mark Broadie, Jérôme Detemple · Mathematical Finance · 1997 · 196 citations

, , +16

A Fourier Transform Method for Spread Option Pricing

T. R. Hurd, Zhuowei Zhou · SIAM Journal on Financial Mathematics · 2010 · 189 citations

, , +16

Closed-Form Approximations for Spread Option Prices and Greeks

Minqiang Li, Jieyun Zhoc · The Journal of Derivatives · 2008 · 105 citations

, , +17

A Closed Form Approach to the Valuation and Hedging of Basket and Spread Option

Svetlana Borovkova, Ferry Jaya Permana, Hans van der Weide · The Journal of Derivatives · 2007 · 101 citations

, , +17

1–5 of 55

Authors

105

  1. PL
    Peter Laurence

    Sapienza University of Rome, Italy

    3 publications · 69 citations

    3

    h-index

  2. GF
    Gianluca Fusai

    Università degli Studi del Piemonte Orientale “Amedeo Avogadro”, Italy

    2 publications · 106 citations

    2

    h-index

  3. PB
    Petter Bjerksund

    Norwegian School of Economics, Norway

    2 publications · 94 citations

    2

    h-index

  4. JD
    Jérôme Detemple

    Boston University, United States

    2 publications · 209 citations

    2

    h-index

  5. ML
    Minqiang Li

    Georgia Institute of Technology, United States

    2 publications · 138 citations

    2

    h-index

1–5 of 105

Institutions

78

  1. University of Reading

    Reading, United Kingdom

    3 h-index

    4 publications

    127 citations

  2. ICMA Centre

    Reading, United Kingdom

    3 h-index

    4 publications

    127 citations

  3. University of International Business and Economics

    Beijing, China

    3 h-index

    6 publications

    84 citations

  4. City, University of London

    London, United Kingdom

    2 h-index

    2 publications

    106 citations

  5. McMaster University

    Hamilton, Canada

    2 h-index

    3 publications

    389 citations

  6. Peking University

    Beijing, China

    2 h-index

    2 publications

    30 citations

  7. Sapienza University of Rome

    Rome, Italy

    2 h-index

    2 publications

    59 citations

  8. New York University

    New York, United States

    2 h-index

    2 publications

    59 citations

1–8 of 78

Venues

  1. The Journal of Derivatives

    7 publications · 329 citations

    7

    h-index

  2. SSRN Electronic Journal

    Repository · 6 publications · 163 citations

    6

    h-index

  3. Quantitative Finance

    4 publications · 134 citations

    4

    h-index

  4. Journal of Banking & Finance

    3 publications · 169 citations

    3

    h-index

  5. Journal of Futures Markets

    2 publications · 80 citations

    2

    h-index

1–5