A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics
We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modeled with stochastic volatility and jump-diffusion dynamics. As with any other numerical scheme for partial differential equations (PDEs); the MOL becomes in...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Published: |
Archīum Ateneo
2021
|
| Subjects: | |
| Online Access: | https://archium.ateneo.edu/mathematics-faculty-pubs/157 https://www.tandfonline.com/doi/abs/10.1080/14697688.2021.1926534?journalCode=rquf20 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Ateneo De Manila University |