| This article shows how to price commodity spread options which mayhave zero or negative strikes. Specific reference is made to coppertraded at the London Metal Exchange. This article appeared in Risk, vol 8, no 5, May 1995, as well asin the collection Over the Rainbow: Developments in Exotic Options andComplex Swaps, edited by Robert Jarrow, Risk Publications, London, 1995. Book Cover Page 1 Page 2 Page 3 Page 4 Page 5 Page 6 Page 7 Web Page: http://orlingrabbe.org/homepage.html |
