Exchange option pricing in jump-diffusion models based on esscher transform
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DOI: 10.1080/03610926.2018.1444180
Abstract: ABSTRACT In the real world, we introduce a dynamic model about the risky asset which is governed by Brownian motion, stationary compound Poisson process and its compensation process. By choosing Esscher transform parameters, we obtain… read more here.
Keywords: option; option pricing; pricing; exchange option ... See more keywords