This article derives a closed-form pricing formula for European exchange options under a
non-Gaussian framework for the underlying assets, intending to resolve mispricing …

Timer options are financial instruments, first proposed by Société Générale Corporate and
Investment Banking in 2007, which allow investors to exercise the options randomly under …

This paper investigates the pricing of exchange options under hybrid models integrating
stochastic volatility and stochastic interest rates. It aims to achieve two primary objectives …

In this article, we provide representations of European and American exchange option
prices under stochastic volatility jump-diffusion (SVJD) dynamics following models by …

The exchange option, which has two correlated underlying assets, is one of the most
popular exotic options in the over-the-counter markets. This paper studies the valuation of …

This article derives a closed-form pricing formula for the European exchange option in a
stochastic volatility framework. Firstly, with the Feynman–Kac theorem's application, we …

Timer options are financial instruments that enable investors to exercise their rights on a
random maturity date the realized variance reaches the level of variance budget. These …

In this paper, the valuation of the exchange option with credit risk under a hybrid credit risk
model is investigated. In order to build the hybrid model, we consider both the reduced-form …

First introduced by Société Générale Corporate and Investment Banking in 2007, timer
options are financial instruments whose payoffs rely on a random date of the exercise …

We consider a method of lines (MOL) approach to determine prices of European and
American exchange options when underlying asset prices are modeled with stochastic …