Correction: Exchange Option under Jump-diffusion Dynamics

In this note, we provide the correct formula for the price of the European exchange option given in Cheang, G. H. L., & Chiarella, C. (2011. Exchange options under jump-diffusion dynamics. Applied Mathematical Finance, 18, 245-276) in a bi-dimensional jump diffusion model.

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Bibliographic Details
Published in:Applied mathematical finance. 2015-01, Vol.22 (1), p.99-103
Main Authors: Caldana, Ruggero, Cheang, Gerald H. L., Chiarella, Carl, Fusai, Gianluca
Format: Article
Language:English
Subjects:
Diffusion
Exchange option
jump-diffusion
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Summary:In this note, we provide the correct formula for the price of the European exchange option given in Cheang, G. H. L., & Chiarella, C. (2011. Exchange options under jump-diffusion dynamics. Applied Mathematical Finance, 18, 245-276) in a bi-dimensional jump diffusion model.
ISSN:1350-486X
1466-4313
DOI:10.1080/1350486X.2014.937564