Pricing vulnerable options with jump risk and liquidity risk (Q2059298): Difference between revisions

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+The market for crash risk
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+Option Pricing in Illiquid Markets with Jumps
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+Option pricing and Esscher transform under regime switching
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+Credit spreads, endogenous bankruptcy and liquidity risk
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+Endogenous Liquidity and Defaultable Bonds
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+Valuing vulnerable geometric Asian options
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+A closed form solution for vulnerable options with Heston's stochastic volatility
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+The credit risk and pricing of OTC options
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+Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
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+Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
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+Option pricing with an illiquid underlying asset market
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+Option pricing when underlying stock returns are discontinuous
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+Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
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+Pricing vulnerable options with stochastic volatility
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+PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION
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+Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
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+Pricing vulnerable options under a stochastic volatility model
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