18 citations · 26 across the 3 of their papers we have counts for
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q-fin.MF2020★ 18 cited
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…
q-fin.MF2020★ 1 cited
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…