Pricing Derivatives on Two Lévy-driven Stocks
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Hans U. Gerber & Hlias S. W. Shiu, 1996. "Martingale Approach To Pricing Perpetual American Options On Two Stocks," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 303-322, July.
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
- Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- 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.
- S. D. Jacka, 1991. "Optimal Stopping and the American Put," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 1-14, April.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Fajardo, J. & Mordeckiy, E., 2003.
"Pricing Derivatives on Two Lévy-driven Stocks,"
Finance Lab Working Papers
flwp_56, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- Ernesto Mordecki & José Fajardo, 2004. "Pricing Derivatives on Two Lé}vy-driven Stocks," Econometric Society 2004 North American Winter Meetings 139, Econometric Society.
- Fajardo, J. & Mordeckiz, E., 2004.
"Duality and Derivative Pricing with Lévy Processes,"
Finance Lab Working Papers
flwp_71, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- José Fajardo & Ernesto Mordecki, 2005. "Duality and Derivative Pricing with Lévy Processes," IBMEC RJ Economics Discussion Papers 2005-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
- Sanjay K. Nawalkha & Xiaoyang Zhuo, 2022. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Journal of Finance, American Finance Association, vol. 77(5), pages 2853-2906, October.
- Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
- Jérôme Detemple, 1999. "American Options: Symmetry Properties," CIRANO Working Papers 99s-45, CIRANO.
- Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742, Decembrie.
- Hao Zhou & Duy-Minh Dang, 2024. "Numerical analysis of American option pricing in a two-asset jump-diffusion model," Papers 2410.04745, arXiv.org, revised Apr 2025.
- Juan Arismendi, 2014. "A Multi-Asset Option Approximation for General Stochastic Processes," ICMA Centre Discussion Papers in Finance icma-dp2014-03, Henley Business School, University of Reading.
- Xenos Chang-Shuo Lin & Daniel Wei-Chung Miao & Emma En-Tze Chang, 2024. "Testing the Closed-Form Spread Option Pricing Formula Based on Gauss-Hermite Quadrature for a Jump-Diffusion Model," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2879-2908, November.
- Blenman, Lloyd P. & Clark, Steven P., 2005. "Power exchange options," Finance Research Letters, Elsevier, vol. 2(2), pages 97-106, June.
- Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," PSE-Ecole d'économie de Paris (Postprint) halshs-00368336, HAL.
- Dominique Guegan & Jing Zang, 2009.
"Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market,"
The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 777-795.
- Dominique Guegan & Jing Zhang, 2007. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Documents de travail du Centre d'Economie de la Sorbonne b07057, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368336, HAL.
- Dominique Guegan & Jing Zhang, 2007. "Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00188248, HAL.
- Černý, Aleš & Ruf, Johannes, 2021.
"Simplified stochastic calculus with applications in Economics and Finance,"
European Journal of Operational Research, Elsevier, vol. 293(2), pages 547-560.
- Alev{s} v{C}ern'y & Johannes Ruf, 2019. "Simplified stochastic calculus with applications in Economics and Finance," Papers 1912.03651, arXiv.org, revised Jan 2021.
- Černý, Aleš & Ruf, Johannes, 2020. "Simplified stochastic calculus with applications in economics and finance," LSE Research Online Documents on Economics 108156, London School of Economics and Political Science, LSE Library.
- Decamps, Jean-Paul & Faure-Grimaud, Antoine, 2002.
"Excessive continuation and dynamic agency costs of debt,"
European Economic Review, Elsevier, vol. 46(9), pages 1623-1644, October.
- Jean-Paul Décamps, 2000. "Excessive Continuation and Dynamic Agency Costs of Debt," FMG Discussion Papers dp348, Financial Markets Group.
- Faure-Grimaud, Antoine & Décamps, Jean Paul, 2000. "Excessive continuation and Dynamic Agency Costs of Debt," CEPR Discussion Papers 2504, C.E.P.R. Discussion Papers.
- Décamps, Jean-Paul & Faure-Grimaud, Antoine, 2000. "Excessive Continuation and Dynamic Agency Costs of Debt," IDEI Working Papers 99, Institut d'Économie Industrielle (IDEI), Toulouse.
- Decamps, J.-P. & Faure-Grimaud, A., 2000. "Excessive Continuation and Dynamic Agency Costs of Debt," Papers 00-533, Toulouse - GREMAQ.
- Cole, John A. & Cadogan, Godfrey, 2014.
"Bankruptcy risk induced by career concerns of regulators,"
Finance Research Letters, Elsevier, vol. 11(3), pages 259-271.
- Godfrey Charles-Cadogan & John A. Cole, 2013. "Bankruptcy Risk Induced by Career Concerns of Regulators," Papers 1312.7346, arXiv.org.
- Guanghua Lian & Robert J. Elliott & Petko Kalev & Zhaojun Yang, 2022. "Approximate pricing of American exchange options with jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 983-1001, June.
- Matthias Berger & Christian Matt & Jochen Gönsch & Thomas Hess, 2019. "Is the Time Ripe? How the Value of Waiting and Incentives Affect Users’ Switching Behaviors for Smart Home Devices," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 71(1), pages 91-123, February.
- Benth Fred E & Saltyte-Benth Jurate, 2006. "Analytical Approximation for the Price Dynamics of Spark Spread Options," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-28, September.
- Asbjørn T. Hansen & Peter Løchte Jørgensen, 2000. "Analytical Valuation of American-Style Asian Options," Management Science, INFORMS, vol. 46(8), pages 1116-1136, August.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2003-10-20 (Finance)
- NEP-FMK-2003-10-20 (Financial Markets)
- NEP-RMG-2003-10-20 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ibm:finlab:flwp_56. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Naercio Menezes (email available below). General contact details of provider: https://edirc.repec.org/data/ibmecbr.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.