Pricing vulnerable options with correlated credit risk under jump-diffusion processes when corporate liabilities are random
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Publication:2316297
DOI10.1007/s10255-019-0821-yzbMath1418.60067OpenAlexW2945559595WikidataQ127937817 ScholiaQ127937817MaRDI QIDQ2316297
Qing Zhou, Weixing Wu, Jiao-Jiao Yang
Publication date: 26 July 2019
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-019-0821-y
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Related Items (4)
Optimal feedback control of stock prices under credit risk dynamics ⋮ Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment ⋮ Pricing vulnerable options under jump diffusion processes using double Mellin transform ⋮ Pricing vulnerable American put options under jump-diffusion processes when corporate liabilities are random
Cites Work
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- The Pricing of Options and Corporate Liabilities
- Valuation of vulnerable American options with correlated credit risk
- Pricing vulnerable European options with stochastic default barriers
- Option pricing when underlying stock returns are discontinuous
- Credit risk valuation. Methods, models, and applications.
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