Option Application
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Spread Option
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Spread Option
Closed Form Pricing Formula (Normal Log-Returns)
Tutorial File: Spread Option.pdf
First Asset
Spot Price \((S_1) \)
Dividend Yield \((\%) \)
Second Asset
Spot Price \((S_2)\)
Dividend Yield \((\%) \)
Covariance Parameters
Volatility 1st Asset \((\sigma_1) \)
Volatility 2nd Asset \((\sigma_2) \)
Correlation \((\rho) \)
Contract Parameters
Strike
Time to Maturity (Years)
Interest Rate \((\%) \)
FFT Fourier Parameters
Damping Coefficient