Pricing of spread and exchange options in a rough jump-diffusion market
type: Item
instance of: scholarly article
title: Pricing of spread and exchange options in a rough jump-diffusion market
zbMATH Open document ID: 1500.91135
author: Donatien Hainaut
published in: Journal of Computational and Applied Mathematics
publication date: 2022-10-06T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 26A33
zbMATH DE Number: 7596898
zbMATH Keywords: rough volatility
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: Heston model
zbMATH Keywords: spread options
MaRDI profile type: Publication
full work available at URL: j.cam.2022.114752
OpenAlex ID: W4292382143
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DOI: 10.1016/J.CAM.2022.114752
description: scientific article; zbMATH DE number 7596898