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A numerical analysis of the modified Kirk's formula and applications to spread option pricing approximations

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dc.contributor.author Harutyunyan, Suren
dc.contributor.author Masip Borràs, Adrià
dc.date.accessioned 2018-12-07T13:31:52Z
dc.date.available 2018-12-07T13:31:52Z
dc.date.issued 2017
dc.identifier.uri http://hdl.handle.net/10230/36014
dc.description Treball de Fi de Grau en Economia. Curs 2016-2017
dc.description Tutora: Elisa Alòs Alcalde
dc.description.abstract In this paper we study recent developments in the approximation of the spread option pricing. As the Kirk’s Approximation is extremely flawed in the cases when the correlation is very high, we explore a recent development that allows approximating with simplicity and accuracy the option price. To assess the goodness of fit of the new method, we increase dramatically the number of simulations and scenarios to test the new method and compare it with the original Kirk’s formula. The simulations confirmed that the Modified Kirk’s Approximation method is extremely accurate, improving Kirk’s approach for two-asset spread options.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Treball de fi de grau – Curs 2016-2017
dc.subject.other Preus
dc.subject.other Spread options
dc.subject.other Spark spread options
dc.subject.other Kirk's formula
dc.title A numerical analysis of the modified Kirk's formula and applications to spread option pricing approximations
dc.type info:eu-repo/semantics/bachelorThesis
dc.rights.accessRights info:eu-repo/semantics/openAccess


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