THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS

DOI10.1142/S0219024905002974zbMath1100.91038MaRDI QIDQ4675937

Peter Carr, Alireza Javaheri

Publication date: 6 May 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

credit riskforward equationsdefault riskjump diffusion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

A jump to default extended CEV model: an application of Bessel processes ⋮ PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY ⋮ On the calibration of local jump-diffusion asset price models

Cites Work

• Information, endogenous uncertainty and risk aversion
• Option price when the stock is a semimartingale
• Option pricing when underlying stock returns are discontinuous
• Unnamed Item

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