Hej allI am in my thesis writing on spread option. Anyone who can tell me does such kind of option in European market and if yes, where can I find the data for this kind of option. I try use co-integration model to build a pricing model for this kind of option and do some empirical work.TuckPatrick

You seem to be approaching this issue backward. You want to write your thesis on something, but you're not sure if it exists. I recommend you find something, learn about it, then decide whether it's a good topic for your thesis.Yes, many different kinds of spread options are traded in Europe. Data is available from many sources, the most familiar is Bloomberg. However the best data will come from private trading desks. If you're writing a thesis, you should consider contacting one. This will get you better data, give you more practical insight into what you are doing and help you get a job (if that's what you want) after your thesis is done.

Hej Aaron:Thanks for your advice. Would you tell me where can I find those private trade desks. you know I am a native European, so I know little on the financial market in European.If you like, you can send email to me, and we can communicate with email. 80238@student.hhs.seThanksChunxu

No desk is likely to send data to a stranger. The best way to get it is to be introduced by a professor or other contact. If you can convince the desk you are doing useful research, they may be willing to not only provide you with data, but pay you. This is also a good way to get a job after graduation.If you don't want to do that, your best bet is still to work through your professor or university. If that fails, you should consider working with Bloomberg or some other more easily available data.

QuoteOriginally posted by: PatrickChenHej Aaron:Thanks for your advice. Would you tell me where can I find those private trade desks. you know I am a native European, so I know little on the financial market in European.If you like, you can send email to me, and we can communicate with email. 80238@student.hhs.seThanksChunxuIf you have trouble getting in touch with a desk nearby. You can work on a more elegant implementation for pricing spread option.For doing this you can take any of the published papers from Magabre to Dempster to Alexander and see if your new implementation can reproduce the numbers.

hej allthanks for the information you give.But I hope also can give me detail on desks such as the name, the address, etc.Thanks

If you have trouble getting the name and address, you're unlikely to make a good impression when you do contact the desk.First, you have to learn something about the desk you want to approach. Your best chance is to have one of your professors do it for you. If they can't or won't, you should probably switch schools. If that's not practical, you could try to learn about some local institutions, ones that are not likely to be overwhelmed with proposals from students. You need to know enough to make yourself interesting to the traders.

Thanks, good ideas.Would you like to help me to contact the desks? I think that you are great and familiar with them.Patrick