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My bibliography Save this articleA multiscale extension of the Margrabe formula under stochastic volatility
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DOI: 10.1016/j.chaos.2017.02.006
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References listed on IDEAS
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Cited by:
- Ha, Mijin & Kim, Donghyun & Yoon, Ji-Hun, 2024. "Valuing of timer path-dependent options," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 215(C), pages 208-227.
- Geonwoo Kim, 2020. "Valuation of Exchange Option with Credit Risk in a Hybrid Model," Mathematics, MDPI, vol. 8(11), pages 1-11, November.
- Enrique Villamor & Pablo Olivares, 2023. "Valuing Exchange Options under an Ornstein-Uhlenbeck Covariance Model," IJFS, MDPI, vol. 11(2), pages 1-24, March.
- Pasricha, Puneet & He, Xin-Jiang, 2022. "Skew-Brownian motion and pricing European exchange options," International Review of Financial Analysis, Elsevier, vol. 82(C).
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Keywords
Margrabe’s formula; Exchange option; Stochastic volatility; Multiscale; Greeks;All these keywords.
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