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Exchange Options Under Jump-Diffusion Dynamics [PDF]
Applied Mathematical Finance, 2008 Abstract This article extends the exchange option model of Margrabe, where the distributions of both stock prices are log-normal with correlated Wiener components, to allow the underlying assets to be driven by jump-diffusion processes of the type originally introduced by Merton. We introduce the Radon–Nikodým derivative process that induces the change
Gerald H. L. Cheang, Carl Chiarella
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SSRN Electronic Journal, 2021
We study power exchange options written on zero-coupon bonds under a stochastic string frame- work. We obtain closed-form expressions for pricing and hedging bond power exchange options and, as particular cases, the corresponding expressions for call power options and constant underlying elasticity in strikes (CUES) options.
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We study power exchange options written on zero-coupon bonds under a stochastic string frame- work. We obtain closed-form expressions for pricing and hedging bond power exchange options and, as particular cases, the corresponding expressions for call power options and constant underlying elasticity in strikes (CUES) options.
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SSRN Electronic Journal, 2015
This paper theoretically illustrates that exchange and conditional options are intertwined in M&A transactions. That is, this study illustrates that an exercised exchange option is simultaneously linked to a conditional option in M&A. A conditional-exchange option is derived from a Radon-Nikodym derivative.
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This paper theoretically illustrates that exchange and conditional options are intertwined in M&A transactions. That is, this study illustrates that an exercised exchange option is simultaneously linked to a conditional option in M&A. A conditional-exchange option is derived from a Radon-Nikodym derivative.
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Options on Foreign Exchange and Exchange Rate Expectations
Staff Papers - International Monetary Fund, 1987This paper tests alternative assumptions concerning the time-series behavior of foreign exchange rates. Data for about 20,000 individual trades on foreign exchange options for dollar exchange rates against six major currencies carried out from February 1983 to June 1985 are analyzed. The tests carried out suggest that, judging from the predictions of a
Eduardo R. Borensztein +1 more
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Journal of the Staple Inn Actuarial Society, 1960
The best known and most common type of option is that where an investor pays money (option money) for the call—that is for the right to buy shares at the current price in 3 months time.This is best explained by an example. Suppose shareAstands at 50s. (market price 49s. 10½d.–50s.
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The best known and most common type of option is that where an investor pays money (option money) for the call—that is for the right to buy shares at the current price in 3 months time.This is best explained by an example. Suppose shareAstands at 50s. (market price 49s. 10½d.–50s.
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Pricing generalized capped exchange options
Applied Financial Economics, 2008The article makes two contributions to the literature. The first contribution is to derive a closed-form solution of Taiwanese capped options. We also provide the properties of Taiwanese capped options and the phenomenon of delta jump at monitoring dates.
Chou-Wen Wang, Szu-Lang Liao, Ting-Yi Wu
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Canada's Exchange Rate Options
Canadian Public Policy / Analyse de Politiques, 1999anada has had a flexible exchange rate continuously in place for the better part of three decades. A great deal has changed in the interim, including our understanding of the economics of monetary policy; and a new debate about the relevant issues is surely welcome.
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Exchange options and spread options with stochastically correlated underlyings
Applied Economics Letters, 2021This paper investigates the valuation of exchange options and spread options with stochastically correlated underlying assets.
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Exchange rate intervention with options
Journal of International Money and Finance, 2003Abstract We consider the problem of a Central Bank that has exchange rate goals. In a partial equilibrium setting, we compare “direct” intervention through sale/purchase of reserves in the currency market with an alternative strategy of intervention with options.
Fernando Zapatero, Luis F. Reverter
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On the option valuation and decomposition of exchange option
Journal of Applied Mathematics and Computing, 2002The authors consider the model for financial market, in which \(n+1\) assets are traded. The price \(S_{t}^0\) of the first of these assets evolves according to the equation \(dS_{t}^0=rS_{t}^0dt,\;S_{0}^0=1,\) where \(r\) is the riskless interest rate.
Choi, Won, Ahn, Seung Chul
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