Pricing vulnerable options with jump risk and liquidity risk

DOI10.1007/s11147-021-09177-5zbMath1479.91419OpenAlexW3153365326MaRDI QIDQ2059298

Xingchun Wang

Publication date: 13 December 2021

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-021-09177-5

zbMATH Keywords

jump-diffusion processesliquidity riskcounterparty default riskvulnerable optionsliquidity discount factor

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment, Pricing path-dependent options under the Hawkes jump diffusion process

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