Pricing vulnerable options with variable default boundary under jump-diffusion processes

DOI10.1186/S13662-018-1915-1MaRDI QIDQ1716358zbMATH OpenOpenAlexWikidataFDO

Authors Qing Zhou, Qian Wang, Weixing Wu

Publication date 4 February 2019

Published in Advances in Difference Equations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13662-018-1915-1

zbMATH Keywords

defaultpricingcredit riskjump-diffusionvulnerable option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Pricing vulnerable options under a stochastic volatility model
• Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
• The pricing of options and corporate liabilities
• The pricing of vulnerable options with double Mellin transforms

Cited in

(6)

• Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
• The pricing of vulnerable options under jump-diffusion model
• Pricing vulnerable options with correlated credit risk under jump-diffusion processes when corporate liabilities are random
• Closed-form pricing formula for foreign equity option with credit risk
• Pricing vulnerable options with jump risk and liquidity risk
• Pricing vulnerable American put options under jump-diffusion processes

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