1 |
F. Antonelli , A. Ramponi, S. Scarlatti, Exchange option pricing under stochastic volatility: a correlation expansion, Rev. Deriv. Res., 13(1) (2010), 45-73.
DOI
|
2 |
G.H.L. Cheang, C. Chiarella, Exchange options under jump-Diffusion dynamics, Appl. Math. Financ., 18(3) (2011), 245-76.
DOI
|
3 |
F.A. Fard, Analytical pricing of vulnerable options under a generalized jumpdiffusion model, Insur. Math. Econ., 60 (2015), 19-28.
DOI
|
4 |
H. Geman, N. Karoui, J.C. Rochet, Changes of Nume'raire, Changes of Probability Measure and Option Pricing, J. Appl. Probab., 32(2) (1995), 443-58.
DOI
|
5 |
G. Kim, E. Koo, Closed-form pricing formula for exchange option with credit risk, Chaos Soliton Fract., 91 (2016), 221-227.
DOI
|
6 |
G. Kim A Probabilistic Approach for Valuing Exchange Option with Default Risk, East Asian Math. J., 36(1) (2020), 55-60.
DOI
|
7 |
J.-H. Kim, C.R. Park, A multiscale extension of the Margrabe formula under stochastic volatility, Chaos Soliton Fract., 97 (2017), 59-65.
DOI
|
8 |
P. Klein, Pricing Black-Scholes options with correlated credit risk, J. Bank. Financ., 50 (1996), 1211-1229.
DOI
|
9 |
D.Lando, On Cox processes and credit risky securities, Rev. Deriv. Res., 2 (1998), 99-120.
DOI
|
10 |
W. Margrabe, The value of an option to exchange one asset for another, J. Financ., 33(1) (1978), 177-86.
DOI
|