文章基本信息

标题：The Model-Free Equivalence Condition for American Spread Options
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作者：Sang Baum Kang ; Pascal Létourneau
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2017
卷号：07
期号：04
页码：757-763
DOI：10.4236/tel.2017.74055
语种：English
出版社：Scientific Research Publishing
摘要：A spread option involves the right to obtain the spread between two asset prices at a predefined strike price. This type of derivative security is frequently used in financial markets and academic finance. Furthermore, analysts use the spread option technique for real option modeling purposes. Some spread options are American-type in the sense that an option holder may exercise her option prior to the expiration. In this paper, we propose an equivalence condition for American spread options under which they are not exercised early, and are therefore equivalent to European options. Our theoretical results, developed within a model-free economic setting, suggest that the equivalence conditions documented by previous papers do not hold in a distribution-free environment. Traders, quantitative modelers, and financial programmers in various derivatives markets and the real option modeling area may use our results.
关键词：Spread Option;American Option;Early Exercise;Real Option