Pricing exchange options with correlated jump diffusion processes
DOI10.1080/14697688.2017.1423371zbMath1471.91583OpenAlexW2792105918MaRDI QIDQ4957241
Nicola Cufaro Petroni, Piergiacomo Sabino
Publication date: 3 September 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1423371
energy derivativesself-decomposabilityjump diffusion processesspread optionstwo-dimensional Poisson processes
Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Jump processes on discrete state spaces (60J74)
Related Items (4)
Cites Work
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