Pricing vulnerable European options under a two-sided jump model via Laplace transforms
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Publication:5018007
DOI10.1360/012015-3zbMath1488.91138MaRDI QIDQ5018007
Publication date: 17 December 2021
Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1360/012015-3
91G20: Derivative securities (option pricing, hedging, etc.)
44A10: Laplace transform
91G40: Credit risk
60J74: Jump processes on discrete state spaces
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