Pricing of spread and exchange options in a rough jump-diffusion market (Q2088861)
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scientific article; zbMATH DE number 7596898
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of spread and exchange options in a rough jump-diffusion market |
scientific article; zbMATH DE number 7596898 |
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Pricing of spread and exchange options in a rough jump-diffusion market (English)
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6 October 2022
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rough volatility
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fractional Brownian motion
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Heston model
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spread options
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