ABSTRACT

This paper investigates the valuation of exchange options and spread options with stochastically correlated underlying assets. Specially, the correlation is determined by market betas of underlying assets and depends on the level of the variance of the market index. Based on the closed form of the moment generating function of the log-return vector, we obtain pricing formulae for exchange options and spread options. Finally, numerical analysis illustrates the impacts of the market risk factor on option prices.

中文翻译：

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具有随机相关标的的交换期权和价差期权

摘要

本文研究了具有随机相关基础资产的交换期权和价差期权的估值。具体而言，相关性由标的资产的市场贝塔系数决定，并取决于市场指数的方差水平。基于对数回归向量矩生成函数的封闭形式，我们得到了交换期权和价差期权的定价公式。最后，数值分析说明了市场风险因素对期权价格的影响。