Multiple jump-diffusion models and vulnerable European option pricing

MaRDI QIDQ2885988zbMATH OpenFDO

Authors Zhengyuan Wei, Hongxia Gao

Publication date 1 June 2012

Published in Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

default riskmultiple jump-diffusion processesoption pricingvulnerable European option

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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(6)

• American and European options in multi-factor jump-diffusion models, near expiry
• The European vulnerable option pricing with jumps based on a mixed model
• MSM estimators of European options on assets with jumps
• scientific article; zbMATH DE number 6129996 (Why is no real title available?)
• Pricing vulnerable European options under a two-sided jump model via Laplace transforms
• Multivariate European option pricing in a Markov-modulated Lévy framework

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