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 the approximation technique proposed in [3] which is based on an univariate Fourier transform representation and we allow a switching market model behavior. The method turns out to be computationally very effective and permits to use several kinds of jump models other than the standard gaussian setting. As a by- product, the exact price of an Exchange Option may be efficiently computed within this framework, thus extending the results in [5].

Ramponi, A. (2017). Spread Option Pricing in Regime-Switching Markets. ??????? it.cilea.surplus.oa.citation.tipologie.CitationProceedings.prensentedAt ??????? 2nd International Conference on Computational Finance 2017.

Spread Option Pricing in Regime-Switching Markets

Alessandro Ramponi
2017-01-01

Abstract

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 the approximation technique proposed in [3] which is based on an univariate Fourier transform representation and we allow a switching market model behavior. The method turns out to be computationally very effective and permits to use several kinds of jump models other than the standard gaussian setting. As a by- product, the exact price of an Exchange Option may be efficiently computed within this framework, thus extending the results in [5].
2nd International Conference on Computational Finance 2017
2017
Rilevanza internazionale
contributo
2017
Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE
English
Spread Options; Regime switching; Jump diffusions
Intervento a convegno
Ramponi, A. (2017). Spread Option Pricing in Regime-Switching Markets. ??????? it.cilea.surplus.oa.citation.tipologie.CitationProceedings.prensentedAt ??????? 2nd International Conference on Computational Finance 2017.
Ramponi, A
File in questo prodotto:
File Dimensione Formato  
rsSpreadICCF2017.pdf

solo utenti autorizzati

Licenza: Non specificato
Dimensione 82.08 kB
Formato Adobe PDF
82.08 kB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/217734
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact