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by swatim18
April 20th, 2011, 9:23 am
Forum: Technical Forum
Topic: calendar spread options - 1 or 2 factor model?
Replies: 24
Views: 39393

calendar spread options - 1 or 2 factor model?

HI , I am trying to price calendar spread options in commodities. My starting point is simplest form of Monte Carlo on individual prices, using correlation. However its not giving very good results. Can anyone please help with any kind of pointers on this.