Exchange option pricing in jump-diffusion models based on esscher transform
Sign Up to like & getrecommendations! Published in 2018 at "Communications in Statistics - Theory and Methods"
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
Pricing of Power Exchange Option with Jumps under the Double Risk of Exchange and Default
Sign Up to like & getrecommendations! Published in 2020 at "Mathematical Problems in Engineering"
DOI: 10.1155/2020/4268196
Abstract: Power exchange option is an exotic option which combines power option and exchange option. In this paper, we consider the pricing of the power exchange option under exchange rate volatility risk and issuing company bankruptcy… read more here.
Keywords: option; pricing power; power exchange; exchange option ... See more keywords