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- W3048011011 abstract "Abstract In this paper, we investigate spread options with counterparty risk in a jump-diffusion model. Due to the fact that there is no closed-form formula of spread options with counterparty risk, we obtain analytical expressions of lower and upper bounds by employing the measure-change technique. Finally, we numerically check the accuracy of the bounds and analyze the impacts of counterparty risk and jump risk on spread option prices." @default.
- W3048011011 created "2020-08-13" @default.
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- W3048011011 date "2020-11-01" @default.
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- W3048011011 title "Valuing spread options with counterparty risk and jump risk" @default.
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- W3048011011 doi "https://doi.org/10.1016/j.najef.2020.101269" @default.
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