| dc.date.accessioned | 2013-03-12T08:18:25Z | |
| dc.date.available | 2013-03-12T08:18:25Z | |
| dc.date.issued | 2012 | en_US |
| dc.date.submitted | 2012-03-22 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10432 | |
| dc.description.abstract | We study the pricing of spread options. We consider a bivariate jump-diffusion model for the price process and we obtain a Margrabe type formula for the evaluation of the spread option. Moreover, we consider models in which we approximate the small jumps of the bivariate jump-di usion by a two-dimensional Brownian motion scaled with the standard deviation of the small jumps. We prove the robustness of the spread option to such model risk. We illustrate our computations by several examples. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2012). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | PRICING OF SPREAD OPTIONS ON A BIVARIATE JUMP MARKET AND STABILITY TO MODEL RISK | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2012-03-27 | en_US |
| dc.rights.holder | Copyright 2012 The Author(s) | |
| dc.creator.author | Benth, Fred Espen | en_US |
| dc.creator.author | Di Nunno, Giulia | en_US |
| dc.creator.author | Khedher, Asma | en_US |
| dc.creator.author | Schmeck, Maren Diane | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.cristin | 914751 | en_US |
| dc.identifier.urn | URN:NBN:no-30695 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 152981 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10432/1/preprint-BDKS-08032012.pdf | |