Pricing vulnerable European options under a two-sided jump model via Laplace transforms (Q5018007)
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scientific article; zbMATH DE number 7449318
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| English | Pricing vulnerable European options under a two-sided jump model via Laplace transforms |
scientific article; zbMATH DE number 7449318 |
Statements
Pricing vulnerable European options under a two-sided jump model via Laplace transforms (English)
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17 December 2021
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vulnerable options
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two-sided jump model
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Laplace transform
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credit risk
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0.9283586
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0.9197034
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0.9152427
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0.91395766
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0.9128874
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0.90615666
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0.9013794
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0.9013315
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