Pricing vulnerable European options under a two-sided jump model via Laplace transforms

DOI10.1360/012015-3zbMath1488.91138OpenAlexW2383002844MaRDI QIDQ5018007

Huawei Niu, Ding Cheng Wang

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

zbMATH Keywords

Laplace transformcredit risktwo-sided jump modelvulnerable options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Credit risk (91G40) Jump processes on discrete state spaces (60J74)

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