𝔖 Bobbio Scriptorium
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The integral option in a model with jumps

✍ Scribed by Pavel V. Gapeev


Book ID
108267531
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
677 KB
Volume
78
Category
Article
ISSN
0167-7152

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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