scientific article; zbMATH DE number 7266316

zbMath1463.91170MaRDI QIDQ5129302

Chao Xu, Sang Wu, Yinghui Dong

Publication date: 27 October 2020

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

zbMATH Keywords

jump-diffusion modelEuropean optionsvulnerable option

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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