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International mergers and acquisitions: A jump diffusion model application

✍ Scribed by Halil Kiymaz; Osman Kilic


Book ID
110671264
Publisher
Springer US
Year
2004
Tongue
English
Weight
719 KB
Volume
28
Category
Article
ISSN
1055-0925

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## 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