摘要： The standard assumption for an underlying asset's returns process is the lognormal diffusion. This works quite well for individual assets. Portfolios and indexes present a problem, however, because a weighted sum of lognormally distributed stock prices is not lognormal. But a lognormal approximation can typically still be used as long as all of the weights are positive. That condition fails for options on a spread, which generally involves approximately equally sized long and short positions. In the Summer 2007 issue of this journal, Borovkova, Permana, and Weide (BPW) presented a solution based on matching the moments of the returns distribution to a generalized lognormal. Here, Wu, Chang and Chen show how to speed up the BPW procedure considerably by using closed-form expressions for the relevant moments. [PUBLICATION ABSTRACT] 出版者： New York: Institutional Investor 出版日期： 2012-04-01 出處： The Journal of derivatives, 2012-04, Vol.19 (3), p.77-82 資源來源： ABI/INFORM Collection (ProQuest Business/Economics) (LUT) 版權： Copyright Euromoney Institutional Investor PLC Spring 2012 識別號： ISSN: 1074-1240 識別號： EISSN: 2168-8524 識別號： DOI: 10.3905/jod.2012.19.3.077
