Analytical pricing of vulnerable options under a generalized jump-diffusion model (Q2260941): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 06:28, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytical pricing of vulnerable options under a generalized jump-diffusion model |
scientific article |
Statements
Analytical pricing of vulnerable options under a generalized jump-diffusion model (English)
0 references
13 March 2015
0 references
vulnerable options
0 references
reduced form
0 references
Esscher-Girsanov transform
0 references
generalized jump
0 references
credit risk
0 references
