Pricing of spread and exchange options in a rough jump-diffusion market
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Publication:2088861
DOI10.1016/j.cam.2022.114752zbMath1500.91135OpenAlexW4292382143MaRDI QIDQ2088861
Publication date: 6 October 2022
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2022.114752
Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20)
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