The Pricing of Options to Exchange One Asset for Another

Chao Chen, Jiezhong Zou and Zhenting Hou
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Chao Chen: Changsha Railway University, Research Center of Mathematical Finance
Jiezhong Zou: Changsha Railway University, Research Center of Mathematical Finance
Zhenting Hou: Changsha Railway University, Research Center of Mathematical Finance

Chapter Chapter 25 in Markov Processes and Controlled Markov Chains, 2002, pp 397-404 from Springer

Abstract: Abstract This paper deals with the pricing of options to exchange one asset for another. Under the assumption that the asset price processes are jump-diffusion processes, it deduces the partial equation that the option prices must satisfy, and then obtains the pricing formula of options.

Keywords: Option pricing; Underlying asset; Jump-diffusion process (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4613-0265-0_25

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DOI: 10.1007/978-1-4613-0265-0_25

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