18 citations · 27 across the 4 of their papers we have counts for
4 papers
Dynamic Factor Analysis of Price Movements in the Philippine Stock Exchange
Brian Godwin Lim, Dominic Dayta, Benedict Ryan Tiu +3
The intricate dynamics of stock markets have led to extensive research on models that are able to effectively explain their inherent complexities. This study leverages the economet…
A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics
Len Patrick Dominic M. Garces, Gerald H. L. Cheang
We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modelled with stochastic volatility and…
Representation of Exchange Option Prices under Stochastic Volatility Jump-Diffusion Dynamics
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 (1…
A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics
Len Patrick Dominic M. Garces, Gerald H. L. Cheang
We price European and American exchange options where the underlying asset prices are modelled using a Merton (1976) jump-diffusion with a common Heston (1993) stochastic volatilit…