Pricing European vanilla options under a jump-to-default threshold diffusion model (Q724526)
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scientific article; zbMATH DE number 6910429
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing European vanilla options under a jump-to-default threshold diffusion model |
scientific article; zbMATH DE number 6910429 |
Statements
Pricing European vanilla options under a jump-to-default threshold diffusion model (English)
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26 July 2018
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option pricing
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jump-to-default risk
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threshold effect
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Laplace transform
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Green's function
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first hitting time
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