Spread options
Hedge funds pile into renminbi FX options
Investors target call spreads and RKOs in what traders say is one of 2022’s most profitable trades
Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting
This paper incorporates volatility forecasting via the exponentially weighted moving average model into traditional tolerance limits for pair-trading strategies, and illustrates how the proposed method helps uncover arbitrage opportunities via the daily…
Battery storage to transform power market models
Technological breakthrough could rewrite the rules of power trading
Cutting edge: Incorporating forex volatility into commodity spread option pricing
Spread option pricing: importance of forex risk factors illustrated
Cutting edge: Valuation of spread commodity structures
Valuation of spread commodity structures in co-integrated futures markets
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
The CMS triangle arbitrage
The CMS triangle arbitrage
A difference of opinion
CMS spread options have been just about everywhere this year, with investors keen to take a view on the shape of the yield curve. But a wide variation in pricing has sparked speculation that some banks may not be modelling these products accurately. By…