Pellegrino, Tommaso; Sabino, Piergiacomo - In: Energy Economics 45 (2014) C, pp. 172-185
order to price and hedge multi-asset spread options: in particular, we approximate the real dynamics of the short leg … formulas available in the literature for two-legged spread options, i.e. spread options written on two underlyings. Besides it …, the combined use of an option formula for two-legged spread options and the moment matching technique applied to the short …