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Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
Benth, F. E.; Di Nunno, G.; Khedher, A.; Schmeck, M. D.
Non-TUM Co-author(s):
ja
Cooperation:
international
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
Journal listet in FT50 ranking:
nein
Year:
2015
Journal volume:
22
Journal issue:
1
Pages contribution:
28-62
Fulltext / DOI:
doi:10.1080/1350486X.2014.948708
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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