A simple derivation of Kirk's approximation for spread options
Publication in refereed journal

香港中文大學研究人員

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摘要Ever since Kirk proposed an approximate price formula for a European call spread option in 1995, Kirk's approximation has become the most widely used among the practitioners, especially in the energy markets. It is well known that Kirk's approximation extends from Margrabe's exchange option formula but no explicit derivation is available or has ever been published. In this paper we apply the idea of WKB method to provide a simple derivation of Kirk's approximation and discuss its validity. (C) 2013 Elsevier Ltd. All rights reserved.
著者Lo CF
期刊名稱Applied Mathematics Letters
出版年份2013
月份8
日期1
卷號26
期次8
出版社PERGAMON-ELSEVIER SCIENCE LTD
頁次904 - 907
國際標準期刊號0893-9659
語言英式英語
關鍵詞Black-Scholes equation; Kirk's approximation; Lognormal random variables; Spread options; WKB approximation
Web of Science 學科類別Mathematics; Mathematics, Applied; MATHEMATICS, APPLIED

上次更新時間 2020-10-08 於 01:37