Correction: Exchange Option under Jump-diffusion Dynamics
Caldana, R., Cheang, G.H.L., Chiarella, C. & Fusai, G. (2015). Correction: Exchange Option under Jump-diffusion Dynamics. Applied Mathematical Finance, 22(1), pp. 99-103. doi: 10.1080/1350486x.2014.937564
Abstract
In this note, we provide the correct formula for the price of the European exchange option given in Cheang, G. H. L., & Chiarella, C. (2011. Exchange options under jump-diffusion dynamics. Applied Mathematical Finance, 18, 245–276) in a bi-dimensional jump diffusion model.
| Publication Type: | Article |
|---|---|
| Additional Information: | This is an Accepted Manuscript of an article published online by Taylor & Francis in Applied Mathematical Finance on 02/09/2014, available online: http://www.tandfonline.com/10.1080/1350486X.2014.937564. |
| Publisher Keywords: | Exchange option, jump-diffusion |
| Subjects: | H Social Sciences > HG Finance |
| Departments: | Bayes Business School > Finance |
| SWORD Depositor: |
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