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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