Abstract
We study the pricing of spread options and we obtain a Margrabe-type formula for a bivariate jump-diffusion model. Moreover, we study the robustness of the price to model risk, in the sense that we consider two types of bivariate jump-diffusion models: one allowing for infinite activity small jumps and one not. In the second model, an adequate continuous component describes the small variation of prices. We illustrate our computations by several examples.
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