On Approximate Pricing of Spread Options via Conditional Value-at-Risk
نویسندگان
چکیده
It is widely accepted to use conditional value-at-risk for risk management needs and option pricing. As a rule, there are difficulties in exact calculations of value-at-risk. In the paper, we methodology price spread options, extending some approximation approaches these needs. Our results illustrate by numerical which demonstrate their effectiveness. We also show how pricing can help with regulatory inspired Basel Accords.
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ژورنال
عنوان ژورنال: Review of business and economics studies
سال: 2021
ISSN: ['2308-944X', '2311-0279']
DOI: https://doi.org/10.26794/2308-944x-2021-9-3-27-51