most citedRepresentation of Exchange Option Prices under Stochastic Volatility Jump-Diffusion Dynamics

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q-fin.CP2021★ 7 cited

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…