Approximate pricing of American exchange options with jumps-Reference-Cited by-同舟云学术

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Approximate pricing of American exchange options with jumps

Published:2022-02-16 Issue:6 Volume:42 Page:983-1001
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Lian Guanghua¹²^ORCID,Elliott Robert J.³⁴^ORCID,Kalev Petko⁵^ORCID,Yang Zhaojun²^ORCID

Affiliation:

1. Devision of Global Market UBS Group AG, Central Hong Kong

2. Department of Finance Southern University of Science and Technology Shenzhen China

3. School of Business University of South Australia Adelaide South Australia Australia

4. Haskayne School of Business University of Calgary Calgary Alberta Canada

5. Department of Economics & Finance La Trobe University Melbourne Victoria Australia

Funder

National Natural Science Foundation of China

Australian Research Council

Social Sciences and Humanities Research Council of Canada

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22316

Reference27 articles.

1. Approximations for the values of american options

2. Efficient Analytic Approximation of American Option Values

3. Closed form spread option valuation

4. Bongaerts D. Roll. R. Rösch D. Van Dijk M. &Yuferova D.(2021). How do shocks arise and spread across stock markets? A microstructure perspective.Management Science.

5. The Valuation of American Options on Multiple Assets

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Analytic approximations for European-style Asian spread options;AIMS Mathematics;2024

2. Pricing and Risk Management of Multi-Assets Financial Instruments to Natural Disasters;Emerging Markets Finance and Trade;2023-04-26

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