scientific article; zbMATH DE number 1779727

MaRDI QIDQ4542928zbMATH OpenFDO

Authors

Publication date 5 November 2002

zbMATH Keywords

value functionSnell envelopeexchange optionAmerican exchange optionEuropean exchange original-reverse parity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

Recommendations

• Valuation and parities for exchange options
• scientific article; zbMATH DE number 2063837
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Option price decomposition in spot-dependent volatility models and some applications
• The valuation of options on foreign exchange rate in a target zone
• Exchange Options Under Jump-Diffusion Dynamics
• The valuation of American barrier options using the decomposition technique
• On the valuation of American options
• SELF-DECOMPOSABILITY AND OPTION PRICING
• VALUATION AND HEDGING OF OPTIONS WITH GENERAL PAYOFF UNDER TRANSACTIONS COSTS

Cited in

(3)

• Exchange option pricing under stochastic volatility: a correlation expansion
• Valuation and parities for exchange options
• Representation of exchange option prices under stochastic volatility jump-diffusion dynamics

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4542928)