Model[Multi_Asset_Option]__Pricing_Method

Available

Arbitrage-free analytical formula developed by Lloyd Blenman and Steven Clark for pricing primarily European options of type Power Exchange Option

Web reference available here

The Power Exchange Option price is given by

where

and

The following features are currently not supported:

American exercise, barriers, discrete dividends/storage costs.

Corresponds to the QuantLib Fd2dBlackScholesVanilla Engine.

Two dimensional finite-differences Black Scholes vanilla option engine.

Corresponds to the QuantLib Kirk Engine.

Pricing engine for spread option on two futures.

The formula is from "Correlation in the Energy Markets", E. Kirk, Managing Energy Price Risk, London: Risk Publications and Enron, pp. 71-78.

Corresponds to the QuantLib MCAmericanBasket Engine.

Least-square engine for American basket options using Monte Carlo simulation.

Warning: This method is intrinsically weak for out-of-the-money options.

Corresponds to the QuantLib MCEuropeanBasket Engine.

Pricing engine for European basket options using Monte Carlo simulation.

Corresponds to the QuantLib Stulz Engine.

Pricing engine for 2D European Baskets.

The formula is from "Options on the Minimum or the Maximum of Two Risky Assets", Rene Stulz, Journal of Financial Ecomomics (1982) 10, 161-185.