178
Views
1
CrossRef citations to date
0
Altmetric
Research Article

Exchange options and spread options with stochastically correlated underlyings

ORCID Icon

References

  • Antonelli, F., A. Ramponi, and S. Scarlatti. 2010. “Exchange Option Pricing under Stochastic Volatility: A Correlation Expansion.” Review of Derivatives Research 13: 45–73. doi:10.1007/s11147-009-9043-4.
  • Antonelli, F., and S. Scarlatti. 2009. “Pricing Option under Stochastic Volatility: A Power Series Approach.” Finance and Stochastics 13: 269–303. doi:10.1007/s00780-008-0086-4.
  • Ball, C., and TorousW. 2000. Stochastic correlation across international stock markets. Journal of Empirical Finance, 7: 373–388. https://doi.org/10.1016/S0927-5398(00)00017-7
  • Bjerksund, P., and G. Stensland. 2014. “Closed Form Spread Option Valuation.” Quantitative Finance 14: 1785–1794. doi:10.1080/14697688.2011.617775.
  • Buss, A., and G. Vilkov. 2012. “Measuring Equity Risk with Option-implied Correlations.” Review of Financial Studies 25: 3113–3140. doi:10.1093/rfs/hhs087.
  • Christoffersen, P., K. Jacobs, and C. Ornthanalai. 2012. “Dynamic Jump Intensities and Risk Premiums: Evidence from S&P500 Returns and Options.” Journal of Financial Economics 106: 447–472. doi:10.1016/j.jfineco.2012.05.017.
  • Christoffersen, P., K. Jacobs, C. Ornthanalai, and Y. Wang. 2008. “Option Valuation with Long-run and Short-run Volatility Components.” Journal of Financial Economics 90: 272–297. doi:10.1016/j.jfineco.2007.12.003.
  • Driessen, J., P. Maenhout, and G. Vilkov. 2009. “The Price of Correlation Risk: Evidence from Equity Options.” Journal of Finance 64: 1375–1404. doi:10.1111/j.1540-6261.2009.01467.x.
  • Duffie, D., J. Pan, and K. Singleton. 2000. “Transform Analysis and Asset Pricing for Affine Jump-diffusions.” Econometrica 68: 1343–1376. doi:10.1111/1468-0262.00164.
  • Durham, G., J. Geweke, and P. Ghosh. 2015. “A Comment on Christoffersen, Jacobs, and Ornthanalai (2012), ‘Dynamic Jump Intensities and Risk Premiums: Evidence from S&P500 Returns and Options’.” Journal of Financial Economics 115: 210–214. doi:10.1016/j.jfineco.2014.08.004.
  • Escobar, M., B. Götz, L. Seco, and R. Zagst. 2009. “Pricing of Spread Options on Stochastically Correlated Underlyings.” Journal of Computational Finance 12: 31–61. doi:10.21314/JCF.2009.205.
  • Fischer, S. 1978. “Call Option Pricing When Exercise Price Is Uncertain and the Valution of Index Bonds.” Journal of Finance 33: 169–176. doi:10.1111/j.1540-6261.1978.tb03396.x.
  • Heston, S., and S. Nandi. 2000. “A Closed-form GARCH Option Valuation Model.” Review of Financial Studies 13: 585–625. doi:10.1093/rfs/13.3.585.
  • Hurd, T., and Z. Zhou. 2010. “A Fourier Transform Method for Spread Option Pricing.” SIAM Journal on Financial Mathematics 1: 142–157. doi:10.1137/090750421.
  • Kirk, E. 1995. Correlation in the Energy Markets, in Managing Energy Price Risk. London: Risk Publications and Enron.
  • Li, Z., and X. Wang. 2020. “Valuing Spread Options with Counterparty Risk and Jump Risk.” North American Journal of Economics and Finance 54: 101269. doi:10.1016/j.najef.2020.101269.
  • Marabel Romo, J. 2015. “A Closed-form Solution for Outperformance Options with Stochastic Correlation and Stochastic Volatility.” Journal of Industrial and Management Optimization 11: 1185–1209. doi:10.3934/jimo.2015.11.1185.
  • Margrabe, W. 1978. “The Value of an Option to Exchange One Asset for Another.” Journal of Finance 33: 177–186. doi:10.1111/j.1540-6261.1978.tb03397.x.
  • Poitras, G. 1998. “Spread Options, Exchange Options, and Arithmetic Brownian Motion.” Journal of Futures Markets 18: 487–517. doi:10.1002/(SICI)1096-9934(199808)18:5<487::AID-FUT1>3.0.CO;2-Z.
  • Ramchand, L., and SusmelR. (1998). Volatility and cross correlation across major stock markets. Journal of Empirical Finance, 5: 397–416. https://doi.org/10.1016/S0927-5398(98)00003-6
  • Wang, X. 2018. “Pricing Vulnerable European Options with Stochastic Correlation.” Probability in the Engineering and Informational Sciences 32: 67–95. doi:10.1017/S0269964816000425.
  • Wang, X. 2021. “Analytical Valuation of Vulnerable European and Asian Options in Intensity-based Models.” Journal of Computational and Applied Mathematics. forthcoming. doi:10.1016/j.cam.2020.113165.
  • Wang, X., G. Xu, and D. Li. 2020. “A Closed-form GARCH Valuation Model for Power Exchange Options with Counterparty Risk.” Probability in the Engineering and Informational Sciences 34: 279–296. doi:10.1017/S0269964818000530.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.