scientific article; zbMATH DE number 7546026

DOI10.7858/EAMJ.2021.035zbMath1489.91266MaRDI QIDQ5083072

Jaegi Jeon, Geonwoo Kim, Jeonggyu Huh

Publication date: 21 June 2022

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

credit riskhybrid modelvulnerable optionpower exchange option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• Closed-form pricing formula for exchange option with credit risk
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