Exchange option pricing under stochastic volatility: a correlation expansion

DOI10.1007/s11147-009-9043-4zbMath1202.91311OpenAlexW2037514543MaRDI QIDQ965896

Sergio Scarlatti, Fabio Antonelli, Alessandro Ramponi

Publication date: 26 April 2010

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2108/11664

zbMATH Keywords

PDEoptionsstochastic volatilitySDEMargrabe's formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (15)

A CLOSED-FORM PRICING FORMULA FOR EUROPEAN EXCHANGE OPTIONS WITH STOCHASTIC VOLATILITY ⋮ Numerical pricing of exchange option with stock liquidity under Bayesian statistical method ⋮ Closed-form pricing formula for exchange option with credit risk ⋮ Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility ⋮ Exchange option in a two-state Poisson CAPM ⋮ Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate ⋮ A multiscale extension of the Margrabe formula under stochastic volatility ⋮ ANALYTIC PRICING OF CoCo BONDS ⋮ Representation of exchange option prices under stochastic volatility jump-diffusion dynamics ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Exchange options under clustered jump dynamics ⋮ CVA and vulnerable options pricing by correlation expansions ⋮ Unnamed Item ⋮ On a convergent power series method to price defaultable bonds in a Vašíček-CIR model

Cites Work

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