Correction: Exchange Option under Jump-diffusion Dynamics

DOI10.1080/1350486X.2014.937564zbMath1406.91435OpenAlexW2021293748MaRDI QIDQ4682474

Gianluca Fusai, Gerald H. L. Cheang, Ruggero Caldana, Carl Chiarella

Publication date: 18 September 2018

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

Full work available at URL: https://doi.org/10.1080/1350486x.2014.937564

zbMATH Keywords

jump-diffusionexchange option

Mathematics Subject Classification ID

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

Related Items (4)

Representation of exchange option prices under stochastic volatility 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

Cites Work

• Exchange Options Under Jump-Diffusion Dynamics

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