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Quantitative Finance · Glossário

O que é Calendar-spread option?

Definition 12.3 Markets III: Commodities, Energy and Crypto · Capítulo 12 — Commodity Options and Structured Hedges

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 max⁡(FT1−FT2−K,0)\max(F_{T_1} - F_{T_2} - K, 0) on the first minus the second month.

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