Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
From MaRDI portal
Publication:5001195
DOI10.1080/14697688.2015.1090623zbMath1468.91172OpenAlexW2291341035MaRDI QIDQ5001195
Publication date: 16 July 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2015.1090623
Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Jump processes on discrete state spaces (60J74)
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