The pricing of vulnerable options under jump-diffusion model (Q2926919)
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scientific article; zbMATH DE number 6363956
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The pricing of vulnerable options under jump-diffusion model |
scientific article; zbMATH DE number 6363956 |
Statements
3 November 2014
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option pricing
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jump-diffusion model
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first passage time model
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martingale measure transformation
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conditional expectation
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The pricing of vulnerable options under jump-diffusion model (English)
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