User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Benth, F. E.; Di Nunno, G.; Khedher, A.; Schmeck, M. D. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Pricing of spread options on a bivariate jump market and stability to model risk 
Abstract:
We study the pricing of spread options and we obtain a Margrabe type formula for a general bivariate jump diffusion model. Moreover we study the robustness of the price to model risk, in the sense that we consider two types of bivariate jump diffusions: one allowing for infinite activity small jumps and one not. In the second one an adequate continuous component describes the small variation of prices. We illustrate our computations by several examples. 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Applied Mathematical Finance 
Year:
2015 
Journal volume:
22 
Journal issue:
Pages contribution:
28-62 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
versions