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<p>In this paper, we propose a new multivariate Gauss-Hermite expansion and then consider the pricing of spread options and multi-asset spread options. In the proposed framework, higher-order moments are incorporated, and hence the model can effectively capture the skewness and fat-tailed features. In addition, we derive the pricing formula for European options, spread options and multi-asset spread options as well. Finally, after calibrating the model using real option market data, we undertake comparative analysis to investigate correlation coefficients and (multi-asset) spread option prices. Numerical results show that the dimension reduction approach performs well in valuing multi-asset spread options.</p>

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Multivariate Gauss-Hermite expansions and applications to option pricing

  • 期刊论文

  • 发表日期：

    2026年7月28日

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  • Xingchun Wang,
  • Xuewen Zhao

摘要

In this paper, we propose a new multivariate Gauss-Hermite expansion and then consider the pricing of spread options and multi-asset spread options. In the proposed framework, higher-order moments are incorporated, and hence the model can effectively capture the skewness and fat-tailed features. In addition, we derive the pricing formula for European options, spread options and multi-asset spread options as well. Finally, after calibrating the model using real option market data, we undertake comparative analysis to investigate correlation coefficients and (multi-asset) spread option prices. Numerical results show that the dimension reduction approach performs well in valuing multi-asset spread options.