Perpetual Exchange Options under Jump-Diffusion Dynamics

DOI10.1080/1350486X.2015.1061443zbMath1396.91722MaRDI QIDQ4682489

Gerald H. L. Cheang, Guang-Hua Lian

Publication date: 18 September 2018

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

zbMATH Keywords

optimal stoppingperpetual American optionscompound Poisson processesexchange options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Representation of exchange option prices under stochastic volatility jump-diffusion dynamics

Cites Work

• Solving a two variables free boundary problem arising in a perpetual American exchange option pricing model
• Actuarial bridges to dynamic hedging and option pricing
• Exchange Options Under Jump-Diffusion Dynamics
• MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
• The Valuation of American Options on Multiple Assets
• Correction: Exchange Option under Jump-diffusion Dynamics
• Financial Modelling with Jump Processes
• The generalized perpetual American exchange-option problem
• Pricing Perpetual Options for Jump Processes

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