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

MaRDI QIDQ5129302zbMATH OpenFDO

Authors Sang Wu, Chao Xu, Yinghui Dong

Publication date 27 October 2020

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)

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