Valuation of Options on Bond Spreads Involving two Currencies

We evaluate European options on bond price spreads and on futures and forward spreads when the two underlying bonds of the spread involve two different currencies. When the volatility of forward rates is deterministic, the option price can be reduced to a simple integral.

MELLIOS, K. and PONCET, P. (1996). Valuation of Options on Bond Spreads Involving two Currencies. ESSEC Business School.