𝔖 Bobbio Scriptorium
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A jump telegraph model for option pricing

✍ Scribed by Ratanov, Nikita


Book ID
118743875
Publisher
Taylor and Francis Group
Year
2007
Tongue
English
Weight
194 KB
Volume
7
Category
Article
ISSN
1469-7688

No coin nor oath required. For personal study only.


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Pricing American exchange options in a j
✍ Snorre Lindset πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 185 KB

## Abstract A way to estimate the value of an American exchange option when the underlying assets follow jump‐diffusion processes is presented. The estimate is based on combining a European exchange option and a Bermudan exchange option with two exercise dates by using Richardson extrapolation as p