Exchange Options Under Jump-Diffusion Dynamics

DOI10.1080/1350486X.2010.505390zbMath1239.91160MaRDI QIDQ2889586

Gerald H. L. Cheang, Carl Chiarella

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

equivalent martingale measureAmerican optionscompound Poisson processesexchange options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

An Exact Formula for Pricing American Exchange Options with Regime Switching ⋮ Numerical pricing of exchange option with stock liquidity under Bayesian statistical method ⋮ Closed-form pricing formula for exchange option with credit risk ⋮ Exchange option in a two-state Poisson CAPM ⋮ On fair designs of c<scp>ross‐chain</scp> exchange for cryptocurrencies via Monte Carlo simulation ⋮ Insurance guaranty premiums and exchange options ⋮ Representation of exchange option prices under stochastic volatility jump-diffusion dynamics ⋮ Unnamed Item ⋮ Exchange options under clustered jump dynamics ⋮ Correction: Exchange Option under Jump-diffusion Dynamics ⋮ Perpetual Exchange Options under Jump-Diffusion Dynamics ⋮ European rainbow option values under the two-asset Merton jump-diffusion model ⋮ Pricing exchange options with correlated jump diffusion processes ⋮ Unnamed Item

Cites Work

• Esscher transform and the duality principle for multidimensional semimartingales
• Martingales and stochastic integrals in the theory of continuous trading
• Geometric Lévy process \& MEMM pricing model and related estimation problems
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes
• Analytical Valuation of American Options on Jump‐Diffusion Processes
• American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• The Valuation of American Options on Multiple Assets
• DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS¹
• Pricing American currency options in an exponential Lévy model
• Financial Modelling with Jump Processes
• Lévy Processes and Stochastic Calculus
• Changes of numéraire, changes of probability measure and option pricing
• Option pricing when underlying stock returns are discontinuous

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