Journal article
Numerical Simulation of Exchange Option with Finite Liquidity: Controlled Variate Model
Abstract
In this paper we develop numerical pricing methodologies for European style
Exchange Options written on a pair of correlated assets, in a market with
Authors
Zhang KS; Pirvu TA
Journal
, , ,
Publication Date
June 13, 2020
DOI
10.48550/arxiv.2006.07771