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Futures Spread Options

where

The volatility of can be approximated by

where

c = Price of European call

p = Price of European put

F1 = Price on futures contract one

F2 = Price on futures contract two

X = Strike price

T = Time to maturity

r = risk free rate

= Volatility of future one

= Volatility of future two

= Correlation between the two contracts

N = The cumulative normal distribution function

See Also

oX_FuturesSpread( ) Functions

oX_FuturesSpread_Imp( ) Function

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