Rotordynamics - Revision history

en>Cydebot: Robot - Speedily moving category Dynamics to :Category:Dynamics (mechanics) per CFDS.

2014-11-11T09:18:30Z

Robot - Speedily moving category Dynamics to Category:Dynamics (mechanics) per CFDS.

← Older revision		Revision as of 11:18, 11 November 2014
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	~~In [[finance]], a '''spread option'''~~ is a type of [[Option (finance)\|option]] where the payoff is based on the difference in price between two underlying assets. For example the two assets could be crude oil and heating oil; trading such an option might be of interest to oil refineries, whose profits are a function of the difference between these two prices. Spread options are generally traded over the counter, rather than on exchange.<ref>[http://www.global-derivatives.com/index.php/component/content/46?task=view Global Derivatives: Spread option]</ref><ref>[http://www.investopedia.com/terms/s/spreadoption.asp#axzz1xK58zM00 Investopedia:Spread option]</ref>		Emilia Shryock is my title but you can contact me something you like. In her professional lifestyle she is a payroll clerk but she's always needed her personal business. What I love performing is to collect badges but I've been using on new things lately. Years in the past we moved to North Dakota and I adore each working day residing right here.<br><br>my web site :: home std test ([http://www.ninfeta.tv/user/JVelasco Learn More Here])

	A 'spread option' is not the same as an 'option spread'. A spread option is a new, relatively rare type of [[exotic option]] on two underlyings, while an option spread is a combination trade: the purchase of one (vanilla) option and the sale of another option on the same underlying.

	~~==Spread option valuation==~~

	~~For a spread call, the payoff~~ can ~~be written as <math>C = \max(0,S_1-S_2-K)</math> where S1 and S2 are the prices of the two assets and K is a constant called the strike price~~. ~~For a spread put it~~ is ~~<math>P = \max(0,K-S_1+S_2)</math>.~~

	~~When K equals zero~~ a ~~spread option is the same as an option to exchange one asset for another. An explicit solution, [[Margrabe~~'s ~~formula]],~~ is ~~available in this case.~~

	~~In 1995 Kirk~~'~~s Approximation,<ref>Kirk E~~. ~~(1995); Correlation~~ in the ~~Energy Markets, in: Managing Energy Price Risk, Risk Publications~~ and ~~Enron, London, pp~~. ~~71–78~~<~~/ref~~> a formula valid when K is small but non-zero was published. This amounts to a modification of the standard [[Black-Scholes]] formula, with a special expression for the sigma (volatility) to be used, which is based on the volatilities and the correlation of the two assets.

	~~The same year Pearson published an algorithm~~<~~ref~~>~~[http~~:~~//papers.ssrn.com/sol3/papers.cfm?abstract_id=7010 N. Pearson~~: ~~An efficient approach for pricing spread options]</ref> requiring a single numerical integration to compute the option value.~~

	~~This method was improved upon in 2006 when Li, Deng and Zhou<ref>Li, Deng and Zhou: Closed-Form Approximations for Spread Option Prices and Greeks~~ [http://~~papers~~.~~ssrn~~.~~com~~/~~sol3~~/~~papers.cfm?abstract_id=952747~~]~~</ref> published accurate approximation formulas for both spread option prices and their Greeks.~~

	~~==References==~~
	~~{{Reflist}}~~

	~~{{DEFAULTSORT:Spread Option}}~~
	~~[[Category:Options (finance~~)]]
	~~[[Category:Derivatives (finance)]]~~


	~~{{finance-stub}}~~

en>Monkbot: /* References */Fix CS1 deprecated date parameter errors

2014-01-29T13:26:45Z

References: Fix CS1 deprecated date parameter errors

← Older revision		Revision as of 15:26, 29 January 2014
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	~~Oscar~~ is ~~what my spouse loves~~ to ~~contact me~~ and ~~I totally dig that name~~. ~~I am~~ a ~~meter reader~~. ~~Minnesota~~ is ~~where he~~'s ~~been residing for many years~~. ~~What I adore doing~~ is to ~~collect badges but I've been taking~~ on ~~new things lately~~.<br><br>~~my web site ..~~. [http://~~youulike~~.com/~~profile~~/~~116412 at home std testing~~]		In [[finance]], a '''spread option''' is a type of [[Option (finance)\|option]] where the payoff is based on the difference in price between two underlying assets. For example the two assets could be crude oil and heating oil; trading such an option might be of interest to oil refineries, whose profits are a function of the difference between these two prices. Spread options are generally traded over the counter, rather than on exchange.<ref>[http://www.global-derivatives.com/index.php/component/content/46?task=view Global Derivatives: Spread option]</ref><ref>[http://www.investopedia.com/terms/s/spreadoption.asp#axzz1xK58zM00 Investopedia:Spread option]</ref>

			A 'spread option' is not the same as an 'option spread'. A spread option is a new, relatively rare type of [[exotic option]] on two underlyings, while an option spread is a combination trade: the purchase of one (vanilla) option and the sale of another option on the same underlying.

			==Spread option valuation==

			For a spread call, the payoff can be written as <math>C = \max(0,S_1-S_2-K)</math> where S1 and S2 are the prices of the two assets and K is a constant called the strike price. For a spread put it is <math>P = \max(0,K-S_1+S_2)</math>.

			When K equals zero a spread option is the same as an option to exchange one asset for another. An explicit solution, [[Margrabe's formula]], is available in this case.

			In 1995 Kirk's Approximation,<ref>Kirk E. (1995); Correlation in the Energy Markets, in: Managing Energy Price Risk, Risk Publications and Enron, London, pp. 71–78</ref> a formula valid when K is small but non-zero was published. This amounts to a modification of the standard [[Black-Scholes]] formula, with a special expression for the sigma (volatility) to be used, which is based on the volatilities and the correlation of the two assets.

			The same year Pearson published an algorithm<ref>[http://papers.ssrn.com/sol3/papers.cfm?abstract_id=7010 N. Pearson: An efficient approach for pricing spread options]</ref> requiring a single numerical integration to compute the option value.

			This method was improved upon in 2006 when Li, Deng and Zhou<ref>Li, Deng and Zhou: Closed-Form Approximations for Spread Option Prices and Greeks [http://papers.ssrn.com/sol3/papers.cfm?abstract_id=952747]</ref> published accurate approximation formulas for both spread option prices and their Greeks.

			==References==
			{{Reflist}}

			{{DEFAULTSORT:Spread Option}}
			[[Category:Options (finance)]]
			[[Category:Derivatives (finance)]]


			{{finance-stub}}

en>Helpful Pixie Bot: ISBNs (Build KF)

2012-05-08T09:06:56Z

ISBNs (Build KF)

New page

Oscar is what my spouse loves to contact me and I totally dig that name. I am a meter reader. Minnesota is where he's been residing for many years. What I adore doing is to collect badges but I've been taking on new things lately.<br><br>my web site ... [http://youulike.com/profile/116412 at home std testing]