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Kirk Model

Price and sensitivity for European spread options using Kirk pricing model

The Kirk model provides an approximation for the price of a spread option by adapting the Black-Scholes framework to account for two correlated underlying assets. Price and analyze spread option instruments using a Kirk model with the following functions:

Functions

spreadbykirk Price European spread options using Kirk pricing model
spreadsensbykirk Calculate European spread option prices or sensitivities using Kirk pricing model

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