Pricing of spread options on a bivariate jump market and stability to model risk
Fred Espen Benth, Giulia Di Nunno, Asma Khedher & Maren Diane Schmeck
| Year of publication: |
2015
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|---|---|
| Authors: | Benth, Fred Espen ; Di Nunno, Giulia ; Khedher, Asma ; Schmeck, Maren Diane |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 22.2015, 1/2, p. 28-62
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| Subject: | spread options | jump-diffusion | stability | dual measure | model risk | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Risiko | Risk | Risikoprämie | Risk premium | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010505172