Analytical pricing of vulnerable options under a generalized jump-diffusion model

DOI10.1016/j.insmatheco.2014.10.007zbMath1308.91161OpenAlexW2149661789MaRDI QIDQ2260941

Farzad Alavi Fard

Publication date: 13 March 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.10.007

zbMATH Keywords

credit riskreduced formEsscher-Girsanov transformvulnerable optionsgeneralized jump

Mathematics Subject Classification ID

Related Items (21)

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