European rainbow option values under the two-asset Merton jump-diffusion model

DOI10.1016/J.CAM.2019.112344MaRDI QIDQ2279888zbMATH OpenOpenAlexWikidataFDO

Authors Lynn Boen

Publication date 16 December 2019

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2019.112344

zbMATH Keywords

equivalent martingale measureEuropean optionsjump-diffusionoption pricingrainbow options

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Jump processes on general state spaces (60J76) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A Fourier transform method for spread option pricing
• Correction to: ``Exchange option under jump-diffusion dynamics
• Exchange Options Under Jump-Diffusion Dynamics
• scientific article; zbMATH DE number 1724307 (Why is no real title available?)
• IMEX schemes for pricing options under jump-diffusion models
• Implicit-explicit numerical schemes for jump-diffusion processes
• Numerical solution of two asset jump diffusion models for option valuation
• Operator splitting schemes for the two-asset Merton jump-diffusion model
• Option pricing when correlations are stochastic: an analytical framework
• Option pricing when underlying stock returns are discontinuous
• Pricing Bermudan options under Merton jump-diffusion asset dynamics
• Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
• Robust numerical methods for contingent claims under jump diffusion processes

Cited in

(9)

• Making the best of best-of
• Operator splitting schemes for the two-asset Merton jump-diffusion model
• Mathematical analysis of the two-color partial rainbow options
• American rainbow option pricing formulae in uncertain environment
• Primal-Dual Active-Set Method for the Valuation Of American Exchange Options
• An existence result for two-dimensional parabolic integro-differential equations involving CEV model
• An analytically tractable model for pricing multiasset options with correlated jump-diffusion equity processes and a two-factor stochastic yield curve
• Pricing geometric Asian extremum options under mixed fractional Brownian motion with jumps
• Some bivariate options pricing in a regime-switching stochastic volatility jump-diffusion model with stochastic intensity, stochastic interest and dependent jump

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