Valuation of spread options under correlated skew Brownian motions
用相关偏斜布朗运动描述价差期权标的资产的价格变化，推导出近似定价公式，并用实际数据校准参数，与精确公式和蒙特卡洛方法对比，分析偏斜参数对期权价格的影响。
In this paper, we employ correlated skew Brownian motions to describe the dynamics of the two assets underlying the spread option. In the pricing model, the two underlying assets are exposed to exogenous risks captured by the same Brownian motion, and their endogenous risks are also assumed to be correlated with each other. We obtain an approximate pricing formula of spread options and calibrate model parameters to real data. In addition, we compare the results obtained from the approximate formula with those derived from the exact closed-form formula and from the Monte Carlo method. Finally, we analyze the impact of the skewness parameter on option prices after checking the accuracy of the approximations numerically.