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

Dipartimento di Studi per l'Economia e l'Impresa

Risultato della ricerca: Contributo su rivista › Commento

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.

Lingua originale	Inglese
pagine (da-a)	99-103
Numero di pagine	5
Rivista	Applied Mathematical Finance
Volume	22
Numero di pubblicazione	1
DOI	https://doi.org/10.1080/1350486X.2014.937564
Stato di pubblicazione	Pubblicato - 2 gen 2015

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10.1080/1350486X.2014.937564

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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",

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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

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JO - Applied Mathematical Finance

JF - Applied Mathematical Finance

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Correction: Exchange Option under Jump-diffusion Dynamics

Abstract

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