𝔖 Bobbio Scriptorium
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PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS

✍ Scribed by Erik Ekström; Johan Tysk

Book ID
111043079
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
125 KB
Volume
17
Category
Article
ISSN
0960-1627

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Pricing American exchange options in a j
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