Exchange option pricing in jump-diffusion models based on esscher transform

Wenhan Li, Lixia Liu, Guiwen Lv and Cuixiang Li

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 19, 4661-4672

Abstract: In the real world, we introduce a dynamic model about the risky asset which is governed by Brownian motion, stationary compound Poisson process and its compensation process. By choosing Esscher transform parameters, we obtain a risk-neural measure Q under which the discounted value of the risky underlying asset is a martingale. Then, we give the pricing formulas of Exchange option by change of numeraire. At last, we analyze the option pricing formula and provide numerical illustrations by introducing BBY stock and SBUX stock.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2018.1444180 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:47:y:2018:i:19:p:4661-4672

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2018.1444180

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().