scientific article; zbMATH DE number 1779727

zbMATH Open1009.60057MaRDI QIDQ4542928FDOQ4542928

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Publication date: 5 November 2002

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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)

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

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