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- W3124853434 abstract "This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll-Ross(CIR) processes. We derive the characteristic function for two market models featuring joint normally distributed jumps, stochastic volatility, and different stochastic dependence structures. With the use of Fast Fourier Transform(FFT) we accurately compute spread option prices across a variety of strikes and initial price vectors at a very low computational cost when compared to Monte Carlo pricing methods. We also look at the sensitivities of the prices to the model specifications and find strong dependence on the selection of the jump and stochastic volatility parameters. Our numerical implementation is based on the method developed by Hurd and Zhou (2009)." @default.
- W3124853434 created "2021-02-01" @default.
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- W3124853434 date "2014-09-01" @default.
- W3124853434 modified "2023-09-27" @default.
- W3124853434 title "Pricing Spread Options under Stochastic Correlation and Jump-Diffusion Models" @default.
- W3124853434 hasPublicationYear "2014" @default.
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