"Pricing of spread and exchange options in a rough jump-diffusion market."

Donatien Hainaut (2023)

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DOI: 10.1016/J.CAM.2022.114752

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type: Journal Article

metadata version: 2022-10-11

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Donatien Hainaut:
Pricing of spread and exchange options in a rough jump-diffusion market. J. Comput. Appl. Math. 419: 114752 (2023)

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