Pricing double-barrier options under a flexible jump diffusion model

✍ Scribed by Ning Cai; Nan Chen; Xiangwei Wan

Publisher: Elsevier Science
Year: 2009
Tongue: English
Weight: 842 KB
Volume: 37
Category: Article
ISSN: 0167-6377
DOI: 10.1016/j.orl.2009.02.006

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Pricing American exchange options in a jump-diffusion model

✍ Snorre Lindset 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 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