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

• المؤلفون الرئيسيون: Cheang, Gerald H L, Garces, Len Patrick Dominic M
• التنسيق: text
• منشور في: Archīum Ateneo 2019
• الموضوعات: American options; Exchange options; Fourier transform methods; Jump diffusion processes; Stochastic volatility; Mathematics
• الوصول للمادة أونلاين: 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#

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...