Pricing of Extension of European Exchange Option under Esscher Transforms

Pricing of Extension of European Exchange Option under Esscher Transforms

Liu Guoxiang, Zhu Quanxin, Zhang Xiangqiang

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CHINESE JOURNAL OF APPLIED PROBABILITY AND STATISTICS ›› 2014, Vol. 30 ›› Issue (5) : 510-526.

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Pricing of Extension of European Exchange Option under Esscher Transforms

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