Dear All, You are kindly invited to attend the next Stochastics and Finance seminar. On Wednesday June 16 at 2pm Ashwaq Zarban will give a talk via Zoom. Zoom link: https://uni-sydney.zoom.us/j/87491585109 Speaker: Ashwaq Zarban (UNSW) Title: Pricing European Exchange Options under a Double Regime-Switching Jump-Diffusion model Abstract: In this talk, we propose a pricing formula for European exchange options, where the dynamics of the underlying assets are driven by a double regime-switching jump-diffusion. We assume both the model parameters and the price level of the risky share depend on a continuous-time, finite-state, observable Markov chain. Our result is an extension of Cheang and Chiarella (2011), who have priced European exchange options under the jump-diffusion setting, and Shen, Fan and Siu (2014), who have priced European call options under a double regime-switching model. An analytical option pricing formula is obtained by using the inverse Fourier transform. https://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html Please feel free to forward this message to anyone who might be interested in this talk. Kind regards, Anna