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Kirk spraed option

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Pablos
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Posts: 5
Joined: April 15th, 2003, 2:37 pm

Kirk spraed option

April 27th, 2004, 8:24 am

If anybody has the Haug book handy could they quickly tell me what Kirk's (Black) approximation is for a spread option? I do not have my copy handy and am in urgent need of this model. Any help would be greatly appreciatedCheersPablos
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daveangel
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Joined: October 20th, 2003, 4:05 pm

Kirk spraed option

April 27th, 2004, 9:40 am

folow this linkhttp://www.global-derivatives.com/options/spread-options.php
knowledge comes, wisdom lingers
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kenzo
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Joined: October 19th, 2002, 5:41 pm

Kirk spraed option

April 27th, 2004, 9:41 am

I do not have Haug's book but the formulae you are looking for can be found here. edit: quadrature was quicker
Last edited by kenzo on April 26th, 2004, 10:00 pm, edited 1 time in total.
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