The pricing of vulnerable options under jump-diffusion model
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Recommendations
- Pricing vulnerable European options under a jump-diffusion model with stochastic rate
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- The European vulnerable option pricing with jumps based on a mixed model
Cited in
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- Pricing vulnerable options with market prices of common jump risks under regime-switching models
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- Analytical pricing of vulnerable options under a generalized jump-diffusion model
- The European vulnerable option pricing with jumps based on a mixed model
- Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
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- Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
- scientific article; zbMATH DE number 6129996 (Why is no real title available?)
- Pricing vulnerable European options under a jump-diffusion model with stochastic rate
- Pricing vulnerable American put options under jump-diffusion processes
- Vulnerable European option pricing with the time-dependent for double jump-diffusion process
- Pricing vulnerable lookback options using Laplace transforms
- Pricing European vanilla options under a jump-to-default threshold diffusion model
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