Pricing of spread options on a bivariate jump market and stability to model risk (Q4682471)
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scientific article; zbMATH DE number 6938618
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| English | Pricing of spread options on a bivariate jump market and stability to model risk |
scientific article; zbMATH DE number 6938618 |
Statements
Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk (English)
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18 September 2018
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spread options
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jump-diffusion
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stability
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dual measure
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model risk
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0.7828274369239807
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0.7788604497909546
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0.7760424613952637
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0.7704871892929077
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0.7665319442749023
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