Pricing vulnerable options with variable default boundary under jump-diffusion processes (Q1716358): Difference between revisions
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: Q4905685 / rank | |||
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| Property / cites work: Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy / rank | |||
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| Property / cites work: Pricing vulnerable options under a stochastic volatility model / rank | |||
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| Property / cites work: The pricing of vulnerable options with double Mellin transforms / rank | |||
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Revision as of 01:21, 18 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing vulnerable options with variable default boundary under jump-diffusion processes |
scientific article |
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Pricing vulnerable options with variable default boundary under jump-diffusion processes (English)
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4 February 2019
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credit risk
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default
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jump-diffusion
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pricing
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vulnerable option
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