Analytical pricing of vulnerable options under a generalized jump-diffusion model (Q2260941): Difference between revisions

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Latest revision as of 19:32, 9 July 2024

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Analytical pricing of vulnerable options under a generalized jump-diffusion model
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    Analytical pricing of vulnerable options under a generalized jump-diffusion model (English)
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    13 March 2015
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    vulnerable options
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    reduced form
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    Esscher-Girsanov transform
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    generalized jump
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    credit risk
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