Cited By
View all- Robinson G(2015)Practical computing for finite moment log-stable distributions to model financial riskStatistics and Computing10.1007/s11222-014-9478-925:6(1233-1246)Online publication date: 1-Nov-2015
Margrabe's option to exchange in a paretian-stable subordinated market
Author: 
A. VollertAuthors Info & Claims
Pages 1185 - 1197
Abstract
This paper derives the formula for a European option to exchange one asset for another provided that the underlying asset price is logstable. Using the subordination principle of Feller [1] first applied by Hurst, Platen and Rachev [2] to option pricing, we can extend former results of Margrabe [3] to a richer class of stochastic processes which are able to better capture empirical asset return distributions. The obtained option price can be used as a building block in the context of real option valuation.
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- Margrabe's option to exchange in a paretian-stable subordinated market
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Published: 01 November 2001
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View all- Robinson G(2015)Practical computing for finite moment log-stable distributions to model financial riskStatistics and Computing10.1007/s11222-014-9478-925:6(1233-1246)Online publication date: 1-Nov-2015
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