Valuing Exchange Options under an Ornstein-Uhlenbeck Covariance Model Article

Villamor, Enrique, Olivares, Pablo. (2023). Valuing Exchange Options under an Ornstein-Uhlenbeck Covariance Model . International Journal of Financial Studies, 11(2), 10.3390/ijfs11020055

cited authors

  • Villamor, Enrique; Olivares, Pablo

authors

publication date

  • June 1, 2023

published in

keywords

  • Business & Economics
  • Business, Finance
  • Ornstein-Uhlenbek
  • Social Sciences
  • Taylor expansion
  • exchange options
  • splines

Digital Object Identifier (DOI)

volume

  • 11

issue

  • 2