Valuing spread options with counterparty risk and jump risk

2020 ◽  
Vol 54 ◽  
pp. 101269
Author(s):  
Zelei Li ◽  
Xingchun Wang
Keyword(s):  
Counterparty Risk ◽  
Jump Risk ◽  
Spread Options

The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk

2016 ◽  
Vol 37 (5) ◽  
pp. 499-521 ◽  
Author(s):  
Xingchun Wang ◽  
Shiyu Song ◽  
Yongjin Wang
Keyword(s):  
Counterparty Risk ◽  
Jump Risk ◽  
Power Exchange ◽  
Exchange Options

Pricing of spread options on stochastically correlated underlyings

2009 ◽  
Vol 12 (3) ◽  
pp. 31-61 ◽  
Author(s):  
Marcos Escobar ◽  
Barbara Götz ◽  
Luis Seco ◽  
Rudi Zagst
Keyword(s):  
Spread Options

Jumps in Interest Rates and Pricing of Jump Risk - Evidence from the Eurodollar Market

2008 ◽  
Author(s):  
Peter Feldhütter ◽  
Anders B. Trolle ◽  
Paul Georg Schneider
Keyword(s):  
Interest Rates ◽  
Jump Risk
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