Price European spread options using Kirk pricing model
returns the price for a European spread option using the Kirk pricing model.Price
= spreadbykirk(RateSpec
,StockSpec1
,StockSpec2
,Settle
,Maturity
,OptSpec
,Strike
,Corr
)
[1] Carmona, R., Durrleman, V. “Pricing and Hedging Spread Options.” SIAM Review. Vol. 45, No. 4, pp. 627–685, Society for Industrial and Applied Mathematics, 2003.