Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy (Q5001195)
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scientific article; zbMATH DE number 7372454
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy |
scientific article; zbMATH DE number 7372454 |
Statements
Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy (English)
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16 July 2021
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vulnerable option
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credit risk
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jump-diffusion
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regime switching
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