Exchange option pricing in jump-diffusion models based on esscher transform
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Publication:5154104
DOI10.1080/03610926.2018.1444180OpenAlexW2791895092WikidataQ130148142 ScholiaQ130148142MaRDI QIDQ5154104
Cuixiang Li, Guiwen Lv, Wenhan Li, Li-Xia Liu
Publication date: 1 October 2021
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2018.1444180
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Numerical pricing of exchange option with stock liquidity under Bayesian statistical method ⋮ Quanto option pricing with a jump diffusion process ⋮ Pricing vulnerable power exchange options in an intensity based framework
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