Abstract
By means of Malliavin calculus, we construct a modification of the classical Kirk’s formula for spread option prices. This new approximation is easy to compute and increases the accuracy of Kirk’s formula, specially when the correlation parameter is near to one.
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Alòs, E., León, J.A. (2017). On the Short-Time Behaviour of the Implied Volatility Skew for Spread Options and Applications. In: Díaz, J., Kirousis, L., Ortiz-Gracia, L., Serna, M. (eds) Extended Abstracts Summer 2015. Trends in Mathematics(), vol 6. Birkhäuser, Cham. https://doi.org/10.1007/978-3-319-51753-7_16
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DOI: https://doi.org/10.1007/978-3-319-51753-7_16
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