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marcster
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CMS spread options - Kirk and Aron paper and approach

December 16th, 2005, 3:55 pm

Hello everyone,I am trying to price CMS spread options using the Kirk and Aron formula as published in "Correlation in the Energy Markets", 1995. Does anyone know whether that paper is still available anywhere? Reference is "Managing Energy Price Risk", Risk Books 1995; this is currently in its third edition and I cannot find the Kirk paper on its contents page at http://db.riskwaters.com/public/showPag ... 60704.Also I would be grateful for any info or reference regarding the use of this formula/approach in the pricing of CMS spread options rather than the commodity spread options originally envisaged.Many thanks and a good weekend.