Pricing vulnerable options with correlated credit risk under jump-diffusion processes when corporate liabilities are random

DOI10.1007/S10255-019-0821-YzbMath1418.60067OpenAlexW2945559595WikidataQ127937817 ScholiaQ127937817MaRDI QIDQ2316297

Qing Zhou, Weixing Wu, Jiao-Jiao Yang

Publication date: 26 July 2019

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-019-0821-y

zbMATH Keywords

defaultcredit riskpricingjump-diffusionvulnerable option

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (5)

Optimal feedback control of stock prices under credit risk dynamics ⋮ Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment ⋮ Pricing vulnerable options under jump diffusion processes using double Mellin transform ⋮ Pricing vulnerable American put options under jump-diffusion processes when corporate liabilities are random ⋮ A jump diffusion model with fast mean-reverting stochastic volatility for pricing vulnerable options

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Valuation of vulnerable American options with correlated credit risk
• Pricing vulnerable European options with stochastic default barriers
• Option pricing when underlying stock returns are discontinuous
• Credit risk valuation. Methods, models, and applications.

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