A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics

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...

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書目詳細資料
Main Authors:	Garces, Len Patrick Dominic M, Cheang, Gerald H. L.
格式:	text
出版:	Archīum Ateneo 2021
主題:	Exchange options; Jump-diffusion processes; Method of lines; Put-call transformation; Stochastic volatility Mathematics
在線閱讀:	https://archium.ateneo.edu/mathematics-faculty-pubs/157 https://www.tandfonline.com/doi/abs/10.1080/14697688.2021.1926534?journalCode=rquf20
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