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

MaRDI QIDQ3404965zbMATH OpenFDO

Authors Guohe Deng, Xiangqun Yang

Publication date 12 February 2010

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)

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(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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