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Quantitative Finance · Glosario

¿Qué es Spread option?

Definition 16.3 Rates, Credit, XVA and Risk · Capítulo 16 — Commodity and Energy Derivatives

A spread option pays max⁡(F1−F2−K,0)\max(F_1-F_2-K,0) on the difference between two prices: two delivery months of one commodity (a calendar spread), a product and its input (a crack or spark spread), or one commodity at two places.

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