Analytic approximation formulae for European crack spread options
研究了不同模型下欧洲裂解价差看涨期权的定价，提出了新的单变量和显式常数弹性方差模型，并推导出解析近似公式，实证表明新公式在捕捉短期期权市场价格方面表现更优。
In this paper, we investigate and compare the pricing of European crack spread call options under different underlying models. New proposed univariate and explicit constant elasticity of variance (CEV) models are assumed and new analytic approximation formulae in the form of asymptotic expansions are derived. As well we derive an analytic approximation formula based on an explicit version of two correlated Schwartz models. In order to compare the performance of our new formulae with the performance of current popular formulae, we calibrate market prices of short tenor heating oil crack spread call options (traded on the New York Mercantile Exchange) and empirically test their performances. Results from the analysis show that our univariate-based CEV formulae outperforms known univariate formulae in capturing market prices. Overall, however we found the explicit approach to be superior to the univariate approach and in particular our new explicit-based formulae performed best in capturing market prices for options with short tenor.