Pricing of spread options on a bivariate jump market and stability to model risk
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
|
Subject: | spread options | jump-diffusion | stability | dual measure | model risk | Optionspreistheorie | Option pricing theory | Risiko | Risk | Optionsgeschäft | Option trading | Volatilität | Volatility | Derivat | Derivative | Risikoprämie | Risk premium |
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