Valuing spread options with counterparty risk and jump risk
Year of publication: |
2020
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Authors: | Li, Zelei ; Wang, Xingchun |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 54.2020, p. 1-17
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Subject: | Counterparty risk | Jump risk | Measure change | Spread options | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Risikoprämie | Risk premium | Volatilität | Volatility | Kreditrisiko | Credit risk | Risiko | Risk | Derivat | Derivative | Börsenkurs | Share price |
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