A spread option pays 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.
Quantitative Finance · Glosarium
Quantitative Finance · Glosarium
A spread option pays 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.