Physical Sciences and Mathematics Commons^™

Asian Spread Option Pricing Models And Computation, Sijin Chen

Theses and Dissertations

In the commodity and energy markets, there are two kinds of risk that traders and analysts are concerned a lot about: multiple underlying risk and average price risk. Spread options, swaps and swaptions are widely used to hedge multiple underlying risks and Asian (average price) options can deal with average price risk. But when those two risks are combined together, then we need to consider Asian spread options and Asian-European spread options for hedging purposes. For an Asian or Asian-European spread call option, its payoff depends on the difference of two underlyings' average price or of one average price and …