no code implementations • 4 Jun 2021 • Len Patrick Dominic M. Garces, Gerald H. L. Cheang
Using the MOL scheme, we conduct a numerical comparative static analysis of exchange option prices with respect to the model parameters and investigate the impact of stochastic volatility and jumps to option prices.
no code implementations • 24 Feb 2020 • Gerald H. L. Cheang, Len Patrick Dominic M. Garces
In this article, we provide representations of European and American exchange option prices under stochastic volatility jump-diffusion (SVJD) dynamics following models by Merton (1976), Heston (1993), and Bates (1996).
no code implementations • 24 Feb 2020 • Len Patrick Dominic M. Garces, Gerald H. L. Cheang
We then determine integral representations for the European exchange option price and the early exercise premium and state a linked system of integral equations that characterizes the American exchange option price and the associated early exercise boundary.
