PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES
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Publication:5291319
DOI10.1142/S0219024906003536zbMath1137.91444MaRDI QIDQ5291319
Ernesto Mordecki, José Fajardo
Publication date: 10 May 2006
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Related Items (6)
Exchangeability-type properties of asset prices ⋮ On a problem of optimal stopping in mathematical finance ⋮ On optimal stopping of multidimensional diffusions ⋮ Esscher transform and the duality principle for multidimensional semimartingales ⋮ A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications ⋮ Semi-static hedging for certain Margrabe-type options with barriers
Cites Work
- The Pricing of Options and Corporate Liabilities
- MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
- Optimal Stopping and the American Put
- Changes of numéraire, changes of probability measure and option pricing
- Asymptotic mixed normality and hellinger processes
- Option pricing when underlying stock returns are discontinuous
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