Pricing vulnerable options with variable default boundary under jump-diffusion processes (Q1716358)
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scientific article; zbMATH DE number 7012046
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing vulnerable options with variable default boundary under jump-diffusion processes |
scientific article; zbMATH DE number 7012046 |
Statements
Pricing vulnerable options with variable default boundary under jump-diffusion processes (English)
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4 February 2019
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credit risk
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default
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jump-diffusion
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pricing
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vulnerable option
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0.8845714926719666
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0.8708828091621399
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0.8658037185668945
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