Numerical pricing of exchange option with stock liquidity under Bayesian statistical method
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Publication:5081059
DOI10.1080/03610926.2020.1793364OpenAlexW3042969931MaRDI QIDQ5081059
Rui Gao, Yaqiong Li, Yanfei Bai
Publication date: 1 June 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2020.1793364
Cites Work
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- Analytical valuation for geometric Asian options in illiquid markets
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- Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients
- Closed-form pricing formula for exchange option with credit risk
- Exchange Options Under Jump-Diffusion Dynamics
- Bayesian Inference for the Jump-Diffusion Model withMJumps
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- Exchange option pricing in jump-diffusion models based on esscher transform
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