A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics
Len Patrick Dominic M. Garces and Gerald H.L. Cheang
| Year of publication: |
2021
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|---|---|
| Authors: | Garces, Len Patrick Dominic M. ; Cheang, Gerald H. L. |
| Subject: | Exchange options | Jump-diffusion processes | Method of lines | Put-call transformation | Stochastic volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1926534 [DOI] |
| Classification: | C60 - Mathematical Methods and Programming. General ; G12 - Asset Pricing |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012696809