Exchange option valuation using Liu process

Autor:	Seema Purohit, Prasad Narahar Lalit
Rok vydání:	2021
Předmět:	Valuation (logic) Process (engineering) Valuation of options Mathematical finance Economics Extension (predicate logic) Mathematical economics Margrabe's formula
Zdroj:	International Journal of Financial Engineering.
ISSN:	2424-7944 2424-7863
Popis:	Margrabe formula is an extension of the famous Black–Scholes model extended to two correlated stocks. In the stochastic financial mathematics approach, the difficulty of addressing this valuation lies in the fact that the difference between two log-normal distributions is not log-normal. We avoided this approach in this work and valued the European type exchange option using the Liu process, a Brownian motion’s fuzzy counterpart. The work compares the proposed model values with the simulated values obtained by the Margrabe formula.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e23058519fdd7f1ed447dfc23428629a https://doi.org/10.1142/s2424786321500183 Zobrazit plný text záznamu