Spread Option Pricing in Regime-Switching Jump Diffusion Models
In this paper, we consider the problem of pricing a spread option when the underlying assets follow a bivariate regime-switching jump diffusion model. We exploit an approximation technique which is based on the univariate Fourier transform representation of the option price. The method proves to be...
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| Format: | Artigo |
| Sprog: | Inglês |
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MDPI AG
2022-05-01
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| Serier: | Mathematics |
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| Online adgang: | https://www.mdpi.com/2227-7390/10/9/1574 |
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