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|a (DE-627)JST081630085
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|a (JST)25054458
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|a eng
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|a 60H10
|2 MSC
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|a 91B28
|2 MSC
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|a Carmona, René
|e verfasserin
|4 aut
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|a Pricing and Hedging Spread Options
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|c 2003
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|a Text
|b txt
|2 rdacontent
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|a Computermedien
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|a We survey theoretical and computational problems associated with the pricing and hedging of spread options. These options are ubiquitous in the financial markets, whether they be equity, fixed income, foreign exchange, commodities, or energy markets. As a matter of introduction, we present a general overview of the common features of all spread options by discussing in detail their roles as speculation devices and risk management tools. We describe the mathematical framework used to model them, and we review the numerical algorithms actually used to price and hedge them. There is already extensive literature on the pricing of spread options in the equity and fixed income markets, and our contribution is mostly to put together material scattered across a wide spectrum of recent textbooks and journal articles. On the other hand, information about the various numerical procedures that can be used to price and hedge spread options on physical commodities is more difficult to find. For this reason, we make a systematic effort to choose examples from the energy markets in order to illustrate the numerical challenges associated with these instruments. This gives us a chance to discuss an interesting application of spread options to an asset valuation problem after it is recast in the framework of real options. This approach is currently the object of intense mathematical research. In this spirit, we review the two major avenues to modeling energy price dynamics. We explain how the pricing and hedging algorithms can be implemented in the framework of models for both the spot price dynamics and the forward curve dynamics.
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|a Copyright 2003 The Society for Industrial and Applied Mathematics
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|a Spread options
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|a Energy markets
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|a Derivative pricing theory
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|a Closed form approximations
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|a Business
|x Business economics
|x Commercial production
|x Production factors
|x Production output
|x Commodities
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|a Physical sciences
|x Physics
|x Mechanics
|x Fluid mechanics
|x Brownian motion
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|a Business
|x Business operations
|x Commerce
|x Pricing
|x Prices
|x Market prices
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|a Mathematics
|x Mathematical procedures
|x Approximation
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|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial instruments
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650 |
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4 |
|a Physical sciences
|x Physics
|x Fundamental forces
|x Electromagnetism
|x Electricity
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650 |
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|a Business
|x Business operations
|x Commerce
|x Pricing
|x Price volatility
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|a Economics
|x Microeconomics
|x Income
|x Fixed income
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650 |
|
4 |
|a Business
|x Business operations
|x Commerce
|x Pricing
|x Prices
|x Commodity prices
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650 |
|
4 |
|a Applied sciences
|x Research methods
|x Modeling
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650 |
|
4 |
|a Business
|x Business economics
|x Commercial production
|x Production factors
|x Production output
|x Commodities
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650 |
|
4 |
|a Physical sciences
|x Physics
|x Mechanics
|x Fluid mechanics
|x Brownian motion
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650 |
|
4 |
|a Business
|x Business operations
|x Commerce
|x Pricing
|x Prices
|x Market prices
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650 |
|
4 |
|a Mathematics
|x Mathematical procedures
|x Approximation
|
650 |
|
4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial instruments
|
650 |
|
4 |
|a Physical sciences
|x Physics
|x Fundamental forces
|x Electromagnetism
|x Electricity
|
650 |
|
4 |
|a Business
|x Business operations
|x Commerce
|x Pricing
|x Price volatility
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650 |
|
4 |
|a Economics
|x Microeconomics
|x Income
|x Fixed income
|
650 |
|
4 |
|a Business
|x Business operations
|x Commerce
|x Pricing
|x Prices
|x Commodity prices
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|
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|a Applied sciences
|x Research methods
|x Modeling
|x Survey and Review
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|a research-article
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|a Durrleman, Valdo
|e verfasserin
|4 aut
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|i Enthalten in
|t SIAM Review
|d Society for Industrial and Applied Mathematics, 1959
|g 45(2003), 4, Seite 627-685
|w (DE-627)266886140
|w (DE-600)1468482-2
|x 10957200
|7 nnns
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1 |
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|g volume:45
|g year:2003
|g number:4
|g pages:627-685
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|u https://www.jstor.org/stable/25054458
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|d 45
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|e 4
|h 627-685
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