On the option valuation and decomposition of exchange option

2002 ◽  
Vol 9 (2) ◽  
pp. 575-581
Author(s):  
Won Choi ◽  
Seung Chul Ahn
Keyword(s):  
Option Valuation ◽  
Exchange Option

Exchange option valuation using Liu process

2021 ◽  
pp. 2150018
Author(s):  
Seema Uday Purohit ◽  
Prasad Narahar Lalit
Keyword(s):  
Financial Mathematics ◽  
Option Valuation ◽  
Normal Distributions ◽  
Black Scholes Model ◽  
Liu Process ◽  
Proposed Model ◽  
Black Scholes ◽  
The Difference ◽  
Log Normal ◽  
Exchange Option

Margrabe formula is an extension of the famous Black–Scholes model extended to two correlated stocks. In the stochastic financial mathematics approach, the difficulty of addressing this valuation lies in the fact that the difference between two log-normal distributions is not log-normal. We avoided this approach in this work and valued the European type exchange option using the Liu process, a Brownian motion’s fuzzy counterpart. The work compares the proposed model values with the simulated values obtained by the Margrabe formula.

Option valuation using the fast Fourier transform

1999 ◽  
Vol 2 (4) ◽  
pp. 61-73 ◽  
Author(s):  
Peter Carr ◽  
Dilip Madan
Keyword(s):  
Fourier Transform ◽  
Fast Fourier Transform ◽  
Option Valuation

Simulation for Option Valuation

1996 ◽  
Author(s):  
Pablo Fernandez
Keyword(s):  
Option Valuation

Conditional-Exchange Option

2015 ◽  
Author(s):  
Tumellano Sebehela
Keyword(s):  
Exchange Option

Option Valuation Formula for General Garch-in-Mean Models

2018 ◽  
Author(s):  
Zhongmin Qian ◽  
Xingcheng Xu
Keyword(s):  
Option Valuation

Excessive Discretion in Corporate Disclosure? Evidence from Option Valuation

2018 ◽  
Author(s):  
Pierre Chaigneau ◽  
Julien Le Maux ◽  
Antoine Noël
Keyword(s):  
Option Valuation ◽  
Corporate Disclosure

Real Option Valuation using NPV

2004 ◽  
Author(s):  
Tom M. Arnold ◽  
Timothy Falcon Crack
Keyword(s):  
Real Option ◽  
Option Valuation ◽  
Real Option Valuation
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