Pricing vulnerable options with jump risk and liquidity risk
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Publication:2059298
DOI10.1007/s11147-021-09177-5zbMath1479.91419OpenAlexW3153365326MaRDI QIDQ2059298
Publication date: 13 December 2021
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-021-09177-5
jump-diffusion processesliquidity riskcounterparty default riskvulnerable optionsliquidity discount factor
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