Pricing Bermudan exchange option under jump-diffusion process

MaRDI QIDQ2951596zbMATH OpenFDO

Authors Bin Peng, Fei Peng

Publication date 6 January 2017

zbMATH Keywords

Bermudan exchange optionjump-diffusion processrisk neutral

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(4)

• Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
• Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
• Exchange option pricing in jump-diffusion models based on Esscher transform
• scientific article; zbMATH DE number 2245625 (Why is no real title available?)

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