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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:
submitted paper
Year:
2012
Pages contribution:
-
Reviewed:
nein
Language:
en
Status:
Erstveröffentlichung
Format:
Text
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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