Kirk Model
Price and sensitivity for European spread options using Kirk
pricing model
The Kirk model provides an approximation for the price of a spread option by adapting the Black-Scholes framework to account for two correlated underlying assets. Price and analyze spread option instruments using a Kirk model with the following functions:
Functions
spreadbykirk | Price European spread options using Kirk pricing model |
spreadsensbykirk | Calculate European spread option prices or sensitivities using Kirk pricing model |
Topics
- Pricing European and American Spread Options
This example shows how to price and calculate sensitivities for European and American spread options using various techniques.
- Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.
