Numerical Simulation of Exchange Option with Finite Liquidity: Controlled Variate Model

14 Jun 2020Kevin S. ZhangTraian A. Pirvu

In this paper we develop numerical pricing methodologies for European style Exchange Options written on a pair of correlated assets, in a market with finite liquidity. In contrast to the standard multi-asset Black-Scholes framework, trading in our market model has a direct impact on the asset's price... (read more)

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