Flashcards
Spread Options
Cards in this deck (3)
- 1What happens as the difference in vol of the two assets increases?Behaves like a vanilla option on the more volatile one
- 2Payoff
- 3Correlation sensitivityShort correlation; as correlation increases, the distribution of spread between the asset price returns will decrease
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- Finance (Products) Flashcards on Spread Options, created by Mitul Patel on 24/07/2017.
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- Mitul Patel
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