This article investigates the valuation of a foreign equity option whose value depends on the exchange rate and foreign equity prices. Assuming that these underlying price processes are correlated and driven by a multidimensional Lévy process, a method suitable for solving the complex valuation prob
The quintessential option pricing formula under Lévy processes
✍ Scribed by Rossella Agliardi
- Publisher
- Elsevier Science
- Year
- 2009
- Tongue
- English
- Weight
- 470 KB
- Volume
- 22
- Category
- Article
- ISSN
- 0893-9659
No coin nor oath required. For personal study only.
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