Kardaras, Constantinos 
ORCID: 0000-0001-6903-4506
(2015)
Valuation and parities for exchange options.
SIAM Journal on Financial Mathematics, 6 (1).
pp. 140-157.
ISSN 1945-497X
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Identification Number: 10.1137/120884973
Abstract
Valuation and parities for both European-style and American-style exchange options are presented in a general financial model allowing for jumps, the possibility of default, and “bubbles” in asset prices. The formulas are given via expectations of auxiliary probabilities using the change-of-numéraire technique. Extensive discussion is provided regarding the way that folklore results such as Merton's no-early-exercise theorem and traditional parities have to be altered in this more versatile framework.
| Item Type: | Article |
|---|---|
| Official URL: | http://epubs.siam.org/loi/sjfmbj |
| Additional Information: | © 2015 Society for Industrial and Applied Mathematics |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
| Date Deposited: | 26 Feb 2016 11:39 |
| Last Modified: | 12 Dec 2024 00:59 |
| Projects: | 334540 |
| Funders: | Marie Curie Career Integration Grant (FP7-PEOPLE-2012-CIG) |
| URI: | http://eprints.lse.ac.uk/id/eprint/65535 |
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