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

Titel:: Pricing of spread options on a bivariate jump market and stability to model risk
Dokumenttyp:: Zeitschriftenaufsatz
Autor(en):: Benth, F. E.; Di Nunno, G.; Khedher, A.; Schmeck, M. D.
Nicht-TUM Koautoren:: ja
Kooperation:: 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
Zeitschriftentitel:: Applied Mathematical Finance
Journal gelistet in FT50 Ranking:: nein
Jahr:: 2015
Band / Volume:: 22
Heft / Issue:: 1
Seitenangaben Beitrag:: 28-62
Volltext / DOI:: doi:10.1080/1350486X.2014.948708
Urteilsbesprechung:: 0
Key publication:: Nein
Peer reviewed:: Ja
International:: Ja
Book review:: Nein
commissioned:: not commissioned
Professional Journal:: Nein
Technology:: Nein
Interdisziplinarität:: Nein
Leitbild:: ;
Ethics und Sustainability:: Nein
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