Pricing European options under a double exponential jump-diffusion model with multi-factor CIR market structure risks

zbMATH Open1199.91206MaRDI QIDQ3404965FDOQ3404965

Authors: Guohe Deng, Xiangqun Yang 

Publication date: 12 February 2010

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zbMATH Keywords

European optiondouble exponential jump-diffusion processmarket structure risksmulti-factor CIR model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40)

Cited In (2)

• Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison
• Explicit pricing formulas for European option with asset exposed to double defaults risk

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