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Modeling of certain problems in financial mathematics: Spread option pricing
Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 47 (2007) no. 4, pp. 626-637 Cet article a éte moissonné depuis la source Math-Net.Ru

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The problem of valuating exotic options, namely, the option on the spread between two forward interest rates is considered. The price of the option is derived under the assumption that the dynamics of debt instruments and the interest rates are described by the Heath–Jarrow–Morton model. The parameters of the model are estimated, and the price of the option is numerically computed based on Russian bond market data. 
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K. P. Khorev. Modeling of certain problems in financial mathematics: Spread option pricing. Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 47 (2007) no. 4, pp. 626-637. http://geodesic.mathdoc.fr/item/ZVMMF_2007_47_4_a4/

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