Exchange option pricing in jump-diffusion models based on Esscher transform

DOI10.1080/03610926.2018.1444180MaRDI QIDQ5154104zbMATH OpenOpenAlexWikidataFDO

Authors Wenhan Li, Guiwen Lv, Cuixiang Li, Lixia Liu

Publication date 1 October 2021

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1444180

zbMATH Keywords

change of numeraireEsscher transformexchange optionjump-diffusion model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A jump-diffusion model for option pricing
• A penalty method for American options with jump diffusion processes
• Actuarial bridges to dynamic hedging and option pricing
• An approximation of American option prices in a jump-diffusion model
• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Markov-modulated jump-diffusions for currency option pricing
• Martingales and arbitrage in multiperiod securities markets
• On option pricing under a completely random measure via a generalized Esscher transform
• Option pricing when underlying stock returns are discontinuous
• Pricing currency derivatives with Markov-modulated Lévy dynamics
• Stochastic calculus for finance. II: Continuous-time models.
• The pricing of options and corporate liabilities
• Valuing variable annuity guarantees with the multivariate Esscher transform

Cited in

(15)

• Pricing vulnerable power exchange options in an intensity based framework
• Pricing Bermudan exchange option under jump-diffusion process
• Exchange option in a two-state Poisson CAPM
• Digital power exchange option pricing under jump-diffusion model
• Numerical pricing of exchange option with stock liquidity under Bayesian statistical method
• Quanto option pricing with a jump diffusion process
• Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
• Exchange options under clustered jump dynamics
• Pricing of extension of European exchange options under Esscher transforms
• scientific article; zbMATH DE number 2245625 (Why is no real title available?)
• State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
• Option pricing and Esscher transform under regime switching
• Operator theory of multiple Itô-integrals
• Some bivariate options pricing in a regime-switching stochastic volatility jump-diffusion model with stochastic intensity, stochastic interest and dependent jump
• On option pricing under a completely random measure via a generalized Esscher transform

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