Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales

DOI10.3934/JIMO.2018044zbMath1415.91295OpenAlexW2800252081WikidataQ129720040 ScholiaQ129720040MaRDI QIDQ2423287

Qing-Qing Yang, Tak Kuen Siu, Wan-Hua He, Wai-Ki Ching

Publication date: 21 June 2019

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2018044

zbMATH Keywords

regime-switchingchange of numérairevulnerable optiondistressed sellingmultinomial approach

Mathematics Subject Classification ID

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

Related Items (3)

Effect of institutional deleveraging on option valuation problems ⋮ Analytical valuation of vulnerable European and Asian options in intensity-based models ⋮ Pricing vulnerable options with jump risk and liquidity risk

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