Browsing by Author "Cheang, Gerald"

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Browsing by Author "Cheang, Gerald"

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  • Cheang, Gerald; Chiarella, Carl (Routledge, 2011)
    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 ...