Pricing vulnerable option under jump-diffusion model with incomplete information

DOI10.1155/2019/5848375zbMath1453.91096OpenAlexW2944832235MaRDI QIDQ2296524

Zhou Shengwu, Yang Jiahui, Guo Kaiqiang, Zhou Haitao

Publication date: 18 February 2020

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/5848375

Mathematics Subject Classification ID

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

Related Items (1)

Pricing vulnerable options in a mixed fractional Brownian motion with jumps

Cites Work

• The Pricing of Options and Corporate Liabilities
• Optimal investment in a defaultable bond
• The pricing of vulnerable options in a fractional Brownian motion environment
• Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model
• Term Structures of Credit Spreads with Incomplete Accounting Information
• The calibration of volatility for option pricing models with jump diffusion processes
• PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES
• Option pricing when underlying stock returns are discontinuous
• Unnamed Item

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