Pricing vulnerable European options under a jump-diffusion model with stochastic rate

zbMATH Open1463.91170MaRDI QIDQ5129302FDOQ5129302

Authors: Sang Wu, Chao Xu, Yinghui Dong 

Publication date: 27 October 2020

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zbMATH Keywords

European optionsjump-diffusion modelvulnerable option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (18)

• A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
• Vulnerable European option pricing with the time-dependent for double jump-diffusion process
• Pricing vulnerable European options under a two-sided jump model via Laplace transforms
• Vulnerable European call option pricing based on uncertain fractional differential equation
• VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
• Analytical valuation of vulnerable European and Asian options in intensity-based models
• European option pricing when the riskfree interest rate follows a jump process
• Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
• The pricing of vulnerable options under jump-diffusion model
• Pricing vulnerable options with correlated credit risk under jump-diffusion processes when corporate liabilities are random
• A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework
• Vulnerable European option pricing models when underlying asset returns are jump-diffusion processes
• Pricing vulnerable American put options under jump-diffusion processes
• Pricing European vanilla options under a jump-to-default threshold diffusion model
• European option pricing under the log mean-reverting jump diffusion stochastic volatility model
• Title not available (Why is that?)
• Pricing vulnerable European options with stochastic default barriers
• Valuation of European crude oil options with co-jump diffusions and stochastic interest rate

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