Extended Black and Scholes model under bankruptcy risk

DOI10.1016/j.jmaa.2019.123564zbMath1427.91275OpenAlexW2978488943WikidataQ113293990 ScholiaQ113293990MaRDI QIDQ2011269

Yu-Sheng Hsu, Cheng-Hsun Wu

Publication date: 28 November 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2019.123564

zbMATH Keywords

option pricingMonte Carlo simulationgeometric Brownian motionBlack and Scholes modelquadratic variation-based estimators

Mathematics Subject Classification ID

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

Related Items

Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk

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