Extended Black and Scholes model under bankruptcy risk

DOI10.1016/J.JMAA.2019.123564MaRDI QIDQ2011269zbMATH OpenOpenAlexWikidataFDO

Authors Yu-Sheng Hsu, Cheng-Hsun Wu

Publication date 28 November 2019

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2019.123564

zbMATH Keywords

Black and Scholes modelgeometric Brownian motionMonte Carlo simulationoption pricingquadratic variation-based estimators

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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Cites work

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• Exact simulation of diffusions
• Exponential functionals of Brownian motion and related processes
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
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• Martingales and stochastic integrals in the theory of continuous trading
• On Maximum Likelihood Estimation in Randomly Stopped Diffusion-Type Processes
• Retrospective exact simulation of diffusion sample paths with applications
• The Cauchy-Dirichlet problem for a class of linear parabolic differential equations with unbounded coefficients in an unbounded domain
• The pricing of options and corporate liabilities

Cited in

(2)

• Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

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