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 one final (at expiration) price. Asian and Asian-European spread option pricing is challenging work. Even under the basic assumption that each underlying price follows a log-normal distribution, the average price does not have a distribution with a simple form. In this dissertation, for the first time, a systematic analysis of Asian spread option and Asian-European spread option pricing is proposed, several original approaches for the Black-Scholes-Merton model and a special stochastic volatility model are developed and some numerical computation tests are conducted as well.
| Identifer | oai:union.ndltd.org:BGMYU2/oai:scholarsarchive.byu.edu:etd-3368 |
| Date | 10 February 2010 |
| Creators | Chen, Sijin |
| Publisher | BYU ScholarsArchive |
| Source Sets | Brigham Young University |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | Theses and Dissertations |
| Rights | http://lib.byu.edu/about/copyright/ |
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