Pricing of spread options on a bivariate jump market and stability to model risk
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Cites work
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- A guided tour through quadratic hedging approaches
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- Actuarial bridges to dynamic hedging and option pricing
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- Approximations of small jumps of Lévy processes with a view towards simulation
- Esscher transform and the duality principle for multidimensional semimartingales
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- Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Jump-adapted discretization schemes for Lévy-driven SDEs
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- On the duality principle in option pricing: semimartingale setting
- Pricing and Hedging Spread Options
- Pricing of basket options using univariate normal inverse Gaussian approximations
- Robustness of option prices and their deltas in markets modelled by jump-diffusions
- Stochastic modeling of electricity and related markets.
- Term structure models driven by general Lévy processes
- The cumulant process and Esscher's change of measure
- The normal inverse gaussian lévy process: simulation and approximation
Cited in
(7)- Pricing of spread and exchange options in a rough jump-diffusion market
- Robustness of option prices and their deltas in markets modelled by jump-diffusions
- An exact formula for pricing American exchange options with regime switching
- Bivariate normal mixture spread option valuation
- Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
- scientific article; zbMATH DE number 7598116 (Why is no real title available?)
- ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK
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