The research on pricing of European exchange options. (Chinese. English summary) Zbl 1150.91352
Summary: This paper discusses the problem of pricing of some multi-asset option-European exchange option in the jump-diffusion model. By using the hedging strategy, the stochastic differential equation with terminal condition is derived. This method is also useful for the pricing of other multi-asset options such as basket options.
MSC:
91B28 | Finance etc. (MSC2000) |
62P05 | Applications of statistics to actuarial sciences and financial mathematics |
60J75 | Jump processes (MSC2010) |
60J60 | Diffusion processes |