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

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

In this article, we provide representations of European and American exchange option prices under stochastic volatility jump-diffusion (SVJD) dynamics following models by Merton [Option pricing when underlying stock returns are discontinuous. J. Financ. Econ., 1976, 3(1-2), 125–144], Heston [A close...

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書目詳細資料
Main Authors:	Cheang, Gerald H L, Garces, Len Patrick Dominic M
格式:	text
出版:	Archīum Ateneo 2019
主題:	American options Exchange options Fourier transform methods Jump diffusion processes Stochastic volatility Mathematics
在線閱讀:	https://archium.ateneo.edu/mathematics-faculty-pubs/73 https://www.tandfonline.com/doi/full/10.1080/14697688.2019.1655785?casa_token=OEuW633C56IAAAAA%3A8I2H9k7IWAuKP75wbIW2euTWKM8WtIllnokX7KZPVHaK0-uNOWHT4RaNjqaOon_wtVK2kOHPy3f8rA#
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Ateneo De Manila University

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