Analytic Approximations for Spread Options

vesc · May 21st, 2009, 8:01 pm

Hello, wondering if anyone has implemented code based on "Analytic Approximations for Spread Options" by Carol Alexander & Aanand Venkatramanan. I can follow it until they get to the calibration section. Any help is greatly appreciated.Cheers,vesc

lupascu · May 27th, 2009, 10:35 am

I guess you can find the implementation on the CD accompanying Carol's Market Risk Analysis (vol 3). You can also see the dependency on the parameter "M".