Pricing exchange options with correlated jump diffusion processes (Q4957241)
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scientific article; zbMATH DE number 7390942
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| default for all languages | No label defined |
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| English | Pricing exchange options with correlated jump diffusion processes |
scientific article; zbMATH DE number 7390942 |
Statements
Pricing exchange options with correlated jump diffusion processes (English)
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3 September 2021
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spread options
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energy derivatives
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jump diffusion processes
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two-dimensional Poisson processes
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self-decomposability
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0.7868064045906067
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0.7801874279975891
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0.772392749786377
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0.7700121402740479
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0.767849326133728
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