Carmona, René; Coulon, Michael; Schwarz, Daniel - In: Quantitative Finance 12 (2012) 12, pp. 1951-1965
The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The novelty of the approach is embedded in the use of a structural model as opposed to reduced-form...