A calendar-spread option (CSO) is an option on the difference between the prices of two delivery months of the same commodity, for example a call paying on the first minus the second month.
Quantitative Finance · Glosario
Quantitative Finance · Glosario
A calendar-spread option (CSO) is an option on the difference between the prices of two delivery months of the same commodity, for example a call paying on the first minus the second month.