Correction: Exchange Option under Jump-diffusion Dynamics

Ruggero Caldana; Gerald H.L. Cheang; Carl Chiarella; Gianluca Fusai

doi:10.1080/1350486X.2014.937564

Correction: Exchange Option under Jump-diffusion Dynamics

Ruggero Caldana
, Gerald H.L. Cheang
, Carl Chiarella
, Gianluca Fusai

Department of Economics and Business Studies

Research output: Contribution to journal › Comment/debate

Abstract

Abstract: 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.

Original language	English
Pages (from-to)	99-103
Number of pages	5
Journal	Applied Mathematical Finance
Volume	22
Issue number	1
DOIs	https://doi.org/10.1080/1350486X.2014.937564
Publication status	Published - 2 Jan 2015

Keywords

Exchange option
jump-diffusion

Access to Document

10.1080/1350486X.2014.937564

Cite this

@article{9dc178a9eecb4089a5988006e6e82e7c,

title = "Correction: Exchange Option under Jump-diffusion Dynamics",

abstract = "Abstract: 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.",

keywords = "Exchange option, jump-diffusion",

author = "Ruggero Caldana and Cheang, \{Gerald H.L.\} and Carl Chiarella and Gianluca Fusai",

note = "Publisher Copyright: {\textcopyright} 2014 Taylor \& Francis.",

year = "2015",

month = jan,

day = "2",

doi = "10.1080/1350486X.2014.937564",

language = "English",

volume = "22",

pages = "99--103",

journal = "Applied Mathematical Finance",

issn = "1350-486X",

publisher = "Routledge",

number = "1",

}

TY - JOUR

T1 - Correction

T2 - Exchange Option under Jump-diffusion Dynamics

AU - Caldana, Ruggero

AU - Cheang, Gerald H.L.

AU - Chiarella, Carl

AU - Fusai, Gianluca

PY - 2015/1/2

Y1 - 2015/1/2

N2 - Abstract: 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.

AB - Abstract: 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.

KW - Exchange option

KW - jump-diffusion

UR - https://www.scopus.com/pages/publications/84924087414

U2 - 10.1080/1350486X.2014.937564

DO - 10.1080/1350486X.2014.937564

M3 - Comment/debate

SN - 1350-486X

VL - 22

SP - 99

EP - 103

JO - Applied Mathematical Finance

JF - Applied Mathematical Finance

IS - 1

ER -

Correction: Exchange Option under Jump-diffusion Dynamics

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this