Exchange Options Under Jump-Diffusion Dynamics
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Publication:2889586
DOI10.1080/1350486X.2010.505390zbMATH Open1239.91160MaRDI QIDQ2889586FDOQ2889586
Authors: Gerald H. L. Cheang, Carl Chiarella 
Publication date: 8 June 2012
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Recommendations
- scientific article; zbMATH DE number 2063837
- Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
- Pricing exchange options with correlated jump diffusion processes
- Perpetual exchange options under jump-diffusion dynamics
- Exchange options under clustered jump dynamics
- The foreign exchange option pricing of diffusion process with jumps
- Pricing of spread and exchange options in a rough jump-diffusion market
- Option pricing under the jump diffusion and multifactor stochastic processes
- Foreign currency option pricing under jump diffusion processes
- Equilibrium asset and option pricing under jump diffusion
Cites Work
- Financial Modelling with Jump Processes
- Optimal Stopping and the American Put
- The Valuation of American Options on Multiple Assets
- Option pricing when underlying stock returns are discontinuous
- Lévy Processes and Stochastic Calculus
- Martingales and stochastic integrals in the theory of continuous trading
- DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1
- Changes of numéraire, changes of probability measure and option pricing
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Esscher transform and the duality principle for multidimensional semimartingales
- Minimal \(f^q\)-Martingale measures for exponential Lévy processes
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
- Analytical valuation of American options on jump-diffusion processes.
- Geometric Lévy process \& MEMM pricing model and related estimation problems
- Pricing American currency options in an exponential Lévy model
Cited In (27)
- Exchange option in a two-state Poisson CAPM
- Exchange options under clustered jump dynamics
- Insurance guaranty premiums and exchange options
- Margrabe's option to exchange in a Paretian-stable subordinated market.
- Pricing exchange options with correlated jump diffusion processes
- European rainbow option values under the two-asset Merton jump-diffusion model
- Exchange option pricing in jump-diffusion models based on Esscher transform
- Pricing Bermudan exchange option under jump-diffusion process
- An exact formula for pricing American exchange options with regime switching
- Valuation and parities for exchange options
- Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
- Simplified approach to valuation of vulnerable exchange option under a reduced-form model
- Title not available (Why is that?)
- Exotic put options at the diffusion bond market
- A probabilistic approach for valuing exchange option with default risk
- Title not available (Why is that?)
- Pricing exchange options under hybrid stochastic volatility and interest rate models
- Title not available (Why is that?)
- Entropic two-asset option
- Closed-form pricing formula for exchange option with credit risk
- Perpetual exchange options under jump-diffusion dynamics
- Contingent claims on foreign assets following jump-diffusion processes
- Correction to: ``Exchange option under jump-diffusion dynamics
- On fair designs of c<scp>ross‐chain</scp> exchange for cryptocurrencies via Monte Carlo simulation
- Title not available (Why is that?)
- Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
- Numerical pricing of exchange option with stock liquidity under Bayesian statistical method
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