Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy

DOI10.1080/14697688.2015.1090623zbMath1468.91172MaRDI QIDQ5001195

Huawei Niu, Ding Cheng Wang

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1090623

zbMATH Keywords

regime switching; credit risk; jump-diffusion; vulnerable option

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

91G40: Credit risk

60J74: Jump processes on discrete state spaces

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