An efficient unified approach for spread option pricing in a copula market model

DOI10.1007/S10479-023-05549-2MaRDI QIDQ6549601zbMATH OpenFDO

Authors Edoardo Berton, Lorenzo Mercuri

Publication date 4 June 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10479-023-05549-2

zbMATH Keywords

affine processcopula functionspread options

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

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• Optimization problems and maintenance policy for a parallel computing system with dependent components

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