Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
DOI10.1080/14697688.2019.1655785zbMath1448.91294arXiv2002.10202OpenAlexW2977209570WikidataQ127200657 ScholiaQ127200657MaRDI QIDQ5121499
Gerald H. L. Cheang, Len Patrick Dominic M. Garces
Publication date: 14 September 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2002.10202
stochastic volatilityAmerican optionsFourier transform methodsjump diffusion processesexchange options
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)
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Cites Work
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