A CLOSED-FORM PRICING FORMULA FOR EUROPEAN EXCHANGE OPTIONS WITH STOCHASTIC VOLATILITY

DOI10.1017/S0269964820000698zbMath1505.91389OpenAlexW3119821188MaRDI QIDQ5051212

Puneet Pasricha, Anubha Goel

Publication date: 22 November 2022

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964820000698

zbMATH Keywords

Feynman-Kac theoremexchange optionsHeston's stochastic volatilitydouble stochastic volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure

Cites Work

• Exchange option pricing under stochastic volatility: a correlation expansion
• A multiscale extension of the Margrabe formula under stochastic volatility
• Post-'87 crash fears in the S\&P 500 futures option market
• Pricing power exchange options with Hawkes jump diffusion processes
• Pricing vulnerable power exchange options in an intensity based framework
• A multifactor volatility Heston model
• Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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