Analytical pricing of vulnerable options under a generalized jump-diffusion model (Q2260941)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytical pricing of vulnerable options under a generalized jump-diffusion model |
scientific article |
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Analytical pricing of vulnerable options under a generalized jump-diffusion model (English)
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13 March 2015
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vulnerable options
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reduced form
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Esscher-Girsanov transform
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generalized jump
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credit risk
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