Pricing vulnerable European options under Lévy process with stochastic volatility

DOI10.1155/2018/3402703zbMath1422.91714OpenAlexW2898150820MaRDI QIDQ1727064

Shengjie Yue, Chao-Qun Ma, Yi-Shuai Ren

Publication date: 20 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/3402703

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (3)

Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility ⋮ New safe approximation of ambiguous probabilistic constraints for financial optimization problem ⋮ Pricing vulnerable options in a mixed fractional Brownian motion with jumps

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