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Exchange Options when One Underlying Price Can Jump

Author

Listed:
  • François Quittard-Pinon

    (EM - EMLyon Business School)

  • Rivo Randrianarivony

    (NIMEC - Normandie Innovation Marché Entreprise Consommation - UNICAEN - Université de Caen Normandie - NU - Normandie Université - ULH - Université Le Havre Normandie - NU - Normandie Université - UNIROUEN - Université de Rouen Normandie - NU - Normandie Université - IRIHS - Institut de Recherche Interdisciplinaire Homme et Société - UNIROUEN - Université de Rouen Normandie - NU - Normandie Université)

Abstract

No abstract is available for this item.

Suggested Citation

  • François Quittard-Pinon & Rivo Randrianarivony, 2010. "Exchange Options when One Underlying Price Can Jump," Post-Print hal-02358444, HAL.
    • Handle: RePEc:hal:journl:hal-02358444
    DOI: 10.3917/fina.311.0033
    as

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    Cited by:

    1. Len Patrick Dominic M. Garces & Gerald H. L. Cheang, 2020. "A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics," Papers 2002.10194, arXiv.org.
    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," Papers 2106.07362, arXiv.org.
    3. 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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