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

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