Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy

DOI10.1080/14697688.2015.1090623zbMath1468.91172OpenAlexW2291341035MaRDI QIDQ5001195

Huawei Niu, Ding Cheng Wang

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1090623

zbMATH Keywords

regime switchingcredit riskjump-diffusionvulnerable option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Jump processes on discrete state spaces (60J74)

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