Analytical pricing of vulnerable options under a generalized jump-diffusion model (Q2260941)
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scientific article; zbMATH DE number 6414131
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| English | Analytical pricing of vulnerable options under a generalized jump-diffusion model |
scientific article; zbMATH DE number 6414131 |
Statements
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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0.883938729763031
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0.8674266934394836
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0.8625881671905518
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0.8614235520362854
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