Valuation and parities for exchange options

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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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:	01 Oct 2024 03:42
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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