研究期間：10208~10307;The first year of the research proposal unites the definition of spread options and basket options, named as the general basket options, and then adopt the Johnson distribution family (1949) to approximate the probability distribution of the general basket of multiple assets. With the approximate probability distribution, the pricing formula of the general basket option and its Greek letters are derived. The resulting pricing model can price both of the spread options and basket options and can integrate their risks, which facilitates financial institutions to compute the consistent prices and manage risks of the both options. Based on the approximation method, the second year of the research proposal intends to derive the pricing formulas of three types of interest rate spread options, namely, LIBOR vs. LIBOR; LIBOR vs. CMS; CMS vs. CMS. We will provide some numerical examples to examine the accuracy of the formulas by using Monte Carlo simulation. The risk management of the three type interest rate spread options are also studied.
