PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES

DOI10.1142/S0219024906003536zbMath1137.91444MaRDI QIDQ5291319

Ernesto Mordecki, José Fajardo

Publication date: 10 May 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Lévy processesoptimal stoppingderivative pricingdual market method

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (6)

Exchangeability-type properties of asset prices ⋮ On a problem of optimal stopping in mathematical finance ⋮ On optimal stopping of multidimensional diffusions ⋮ Esscher transform and the duality principle for multidimensional semimartingales ⋮ A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications ⋮ Semi-static hedging for certain Margrabe-type options with barriers

Cites Work

• The Pricing of Options and Corporate Liabilities
• MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
• Optimal Stopping and the American Put
• Changes of numéraire, changes of probability measure and option pricing
• Asymptotic mixed normality and hellinger processes
• Option pricing when underlying stock returns are discontinuous

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