关键词: 风险中性, 闭形式解, 执行边界

Abstract:

Option pricing plays an important role in financial mathematics research.Spread option is application and popularization of options.Assumes transactions are not continuous,based on historical information and risk-neutral preference and the Geometric Brownian motion as a reference model and taking different exercise boundaries in the money into consideration,the pricing optimization methods for spread option and digital spread option are introduced.Finally, the appropriate and closed-form formula for spread option and digital spread option is established.Furthermore, the monotonicity and convexity theorems of exercise boundary in the money is given,which facilitates the spread option and digital spread option pricing formula to a certain extent.

Key words: risk , neutral；closed , form formula；exercise boundary