Abstract
In this study, we investigate the no-arbitrage valuation of options on two assets whereby one asset is exchanged for another. For incorporating surprising events in the underlying asset price dynamics, we model such stochastic processes by a correlated bivariate jump-diffusion model with capturing both individual jumps and systematic cojumps. Furthermore, we employ the technique of Esscher transform to determine a pricing kernel for option valuation under an incomplete market setting. Finally, the estimated results and numerical examples are given.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
