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Optimizing venture capital investments in a jump diffusion model

✍ Scribed by Erhan Bayraktar; Masahiko Egami

Publisher
Springer
Year
2007
Tongue
English
Weight
357 KB
Volume
67
Category
Article
ISSN
0340-9422

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Pricing American exchange options in a j
Pricing American exchange options in a jump-diffusion model
✍ 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