Got my answer .. thx

I found a paper by Rene Carmona and Valdo Durrleman (2003) that has some good information and a solution to approximate the greeks on spread options. Does anyone have any criticizm of thier work?

<t>This would give me the delt of the option ... but I am looking for the change in value of the option related to a change in the underlying gas price (Delta for gas) and then the change in value of the option related to a change in the underlying power price (Delta for power). So the spread option...

Does anyone know of or have a closed form solution that calculates the delta of a spark spread option as a function of each asset?

<t>Brian, are you saying that after I use GARCH and calibrate the parameters (alpha, beta and omega) I then test the residuals for auto correlation. If the residuals are not autocorrelated then I can feel comfortable that GARCH is giving reasonable approximations. This sounds good to me.Tabris, you ...

<t>We are exploring the use of GARCH to estimate volatility. I've read several times that we should test for auto correlation to make sure that either the parameters make sense or that the underlying time series is applicable to GARCH use, but I'm not sure of exactly what data needs to be tested. I ...