The European vulnerable option pricing with jumps based on a mixed model

DOI10.1155/2016/8035746zbMath1405.91654OpenAlexW2566269742WikidataQ59123663 ScholiaQ59123663MaRDI QIDQ2398560

Shouwei Li, Chao Wang, Jian-min He

Publication date: 16 August 2017

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

Full work available at URL: https://doi.org/10.1155/2016/8035746

zbMATH Keywords

Vasicek modeljump-diffusion processEuropean vulnerable option pricing

Mathematics Subject Classification ID

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

Cites Work

• Pricing vulnerable path-dependent options using integral transforms
• The valuation and behavior of Black-Scholes options subject to intertemporal default risk
• On Cox processes and credit risky securities
• Pricing the risks of default
• Pricing options with credit risk in a reduced form model
• The pricing of vulnerable options with double Mellin transforms
• A closed form solution for vulnerable options with Heston's stochastic volatility
• Closed-form solutions for pricing credit-risky bonds and bond options
• Optimal investment in a defaultable bond
• The pricing of vulnerable options in a fractional Brownian motion environment
• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model
• ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK
• Credit risk valuation. Methods, models, and applications.

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