The Pricing of Vulnerable Options Under Jump-Diffusion Model
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Publication:2926919
DOI10.3724/SP.J.1160.2013.00204zbMath1313.91165OpenAlexW3147608022MaRDI QIDQ2926919
Biyi Shen, Chixiang Chen, Guangyu Yang
Publication date: 3 November 2014
Published in: Acta Analysis Functionalis Applicata (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3724/sp.j.1160.2013.00204
option pricingconditional expectationjump-diffusion modelfirst passage time modelmartingale measure transformation
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