Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model
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- JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi, 2008. "A multifactor volatility Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 591-604.
- Gerald Cheang & Carl Chiarella, 2011. "Exchange Options Under Jump-Diffusion Dynamics," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(3), pages 245-276.
- Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-186, March.
- Minqiang Li & Jieyun Zhou & Shi-Jie Deng, 2010. "Multi-asset spread option pricing and hedging," Quantitative Finance, Taylor & Francis Journals, vol. 10(3), pages 305-324.
- 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.
- Ole E. Barndorff‐Nielsen & Neil Shephard, 2001. "Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
- Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
- Li, Minqiang, 2008. "Closed-Form Approximations for Spread Option Prices and Greeks," MPRA Paper 6994, University Library of Munich, Germany.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2018-01-22 (All new papers)
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