Exchange option pricing in jump-diffusion models based on esscher transform (Q5154104): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1080/03610926.2018.1444180 / rank
 
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Property / OpenAlex ID: W2791895092 / rank
 
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Latest revision as of 11:25, 16 December 2024

scientific article; zbMATH DE number 7405718
Language Label Description Also known as
English
Exchange option pricing in jump-diffusion models based on esscher transform
scientific article; zbMATH DE number 7405718

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    Exchange option pricing in jump-diffusion models based on esscher transform (English)
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    1 October 2021
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    change of numeraire
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    Esscher transform
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    exchange option
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    jump-diffusion model
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