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Correction: Exchange Option under Jump-diffusion Dynamics

Author

Listed:
  • Ruggero Caldana
  • Gerald H. L. Cheang
  • Carl Chiarella
  • Gianluca Fusai

Abstract

In this note, we provide the correct formula for the price of the European exchange option given in Cheang, G. H. L., & Chiarella, C. (2011. Exchange options under jump-diffusion dynamics. Applied Mathematical Finance, 18, 245-276) in a bi-dimensional jump diffusion model.

Suggested Citation

  • Ruggero Caldana & Gerald H. L. Cheang & Carl Chiarella & Gianluca Fusai, 2015. "Correction: Exchange Option under Jump-diffusion Dynamics," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(1), pages 99-103, March.
    • Handle: RePEc:taf:apmtfi:v:22:y:2015:i:1:p:99-103
    DOI: 10.1080/1350486X.2014.937564
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    Cited by:

    1. Wang, Guanying & Wang, Xingchun & Shao, Xinjian, 2022. "Exchange options for catastrophe risk management," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    2. Len Patrick Dominic M. Garces & Gerald H. L. Cheang, 2021. "A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2025-2054, December.
    3. Enrique Villamor & Pablo Olivares, 2020. "Pricing Exchange Options under Stochastic Correlation," Papers 2001.03967, arXiv.org.
    4. Olivares Pablo & Villamor Enrique, 2017. "Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model," Papers 1711.10013, arXiv.org.
    5. Li, Zelei & Wang, Xingchun, 2020. "Valuing spread options with counterparty risk and jump risk," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).

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