Kirk, E. (1995) Correlation in the Energy Markets. Managing Energy Price Risk. Risk Publications and Enron, London, 71-78.

has been cited by the following article:

• TITLE: A Simple Generalisation of Kirk’s Approximation for Multi-Asset Spread Options by the Lie-Trotter Operator Splitting Method

  AUTHORS: Chi-Fai Lo

  KEYWORDS: Lognormal Random Variables, Black-Scholes Equation, Spread Options, Kirk’s Approximation, Lie-Trotter Operator Splitting Method

  JOURNAL NAME: Journal of Mathematical Finance, Vol.4 No.3, May 6, 2014

  ABSTRACT: In this paper, by means of the Lie-Trotter operator splitting method, we have presented a new unified approach not only to rigorously derive Kirk’s approximation but also to obtain a generalisation for multi-asset spread options in a straightforward manner. The derived price formula for the multi-asset spread option bears a great resemblance to Kirk’s approximation in the two-asset case. More importantly, our approach is able to provide a new perspective on Kirk’s approximation and the generalization; that is, they are simply equivalent to the Lie-Trotter operator splitting approximation to the Black-Scholes equation.