Two frameworks for pricing defaultable derivatives (Q2213633): Difference between revisions

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+https://doi.org/10.1016/j.chaos.2019.04.025
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+W2940049593
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+Financial Modelling with Jump Processes
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+Default risk and derivative products
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+DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION
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+Pricing and hedging vulnerable option with funding costs and collateral
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+VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
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+Valuing vulnerable geometric Asian options
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+Pricing vulnerable path-dependent options using integral transforms
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+The pricing of dynamic fund protection with default risk
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+On Cox processes and credit risky securities
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+Pricing of defaultable options with multiscale generalized Heston's stochastic volatility
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+A closed form solution for vulnerable options with Heston's stochastic volatility
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+Option pricing when underlying stock returns are discontinuous
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+Pricing vulnerable options with stochastic volatility
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+The pricing of vulnerable options with double Mellin transforms
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+Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
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