Pricing vulnerable options with jump risk and liquidity risk

DOI10.1007/s11147-021-09177-5zbMath1479.91419OpenAlexW3153365326MaRDI QIDQ2059298

Xingchun Wang

Publication date: 13 December 2021

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-021-09177-5

zbMATH Keywords

jump-diffusion processesliquidity riskcounterparty default riskvulnerable optionsliquidity discount factor

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment ⋮ Pricing path-dependent options under the Hawkes jump diffusion process

Cites Work

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