Pricing of spread options on a bivariate jump market and stability to model risk

DOI10.1080/1350486X.2014.948708MaRDI QIDQ4682471zbMATH OpenOpenAlexFDO

Authors Fred Espen Benth, Giulia Di Nunno, Asma Khedher, Maren Diane Schmeck

Publication date 18 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2014.948708

zbMATH Keywords

dual measurejump-diffusionmodel riskspread optionsstability

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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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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