Vulnerable European option pricing with the time-dependent for double jump-diffusion process

DOI10.3969/J.ISSN.1000-5641.2014.01.003MaRDI QIDQ5498175zbMATH OpenFDO

Authors Lijuan Lu, Xingyong Zhang

Publication date 11 February 2015

Full work available at URL https://doi.org/10.3969/J.ISSN.1000-5641.2014.01.003

zbMATH Keywords

credit riskstwo jump-diffusion processvulnerable European option pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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• Vulnerable European call option pricing based on uncertain fractional differential equation
• Pricing European options under a double exponential jump-diffusion model with multi-factor CIR market structure risks
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