The Pricing of European Exchange Option

DOI

10.2991/ammsa-17.2017.54How to use a DOI?

Keywords

European exchange options; jump-diffusion; count process

Abstract

This paper discusses the problem of pricing on some multi-asset option European exchange option in jump-diffusion model by martingale method. By changing basic assumption of William Margrabe exchange option pricing model to the assumption that jump process is count process that more general than Poisson process, it is established that the behavior model of the stock pricing process is jump-diffusion process. The formula of European exchange option whose stock price with jump process is a count process that more general than Poisson process is deduced under the risk-neutral hypothesis, and it is extended that William Margrabe exchange option pricing model.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Shougang Zhang
AU  - Yunfeng Yang
PY  - 2017/05
DA  - 2017/05
TI  - The Pricing of European Exchange Option
BT  - Proceedings of the 2017 International Conference on Applied Mathematics, Modelling and Statistics Application (AMMSA 2017)
PB  - Atlantis Press
SP  - 245
EP  - 248
SN  - 1951-6851
UR  - https://doi.org/10.2991/ammsa-17.2017.54
DO  - 10.2991/ammsa-17.2017.54
ID  - Zhang2017/05
ER  -