PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES

DOI10.1017/S0269964816000486zbMath1414.91392OpenAlexW2563372251MaRDI QIDQ5358108

Guanying Wang, Zhongyi Liu, Xingchun Wang

Publication date: 19 September 2017

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964816000486

zbMATH Keywords

credit riskjump-diffusion processesvulnerable American optionsmulti-exercisable options

Mathematics Subject Classification ID

Related Items (7)

A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL ⋮ VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY ⋮ Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility ⋮ Pricing vulnerable power exchange options in an intensity based framework ⋮ Pricing vulnerable American put options under jump-diffusion processes when corporate liabilities are random ⋮ Valuation of the American put option as a free boundary problem through a high-order difference scheme ⋮ Pricing vulnerable option under jump-diffusion model with incomplete information

Cites Work

• A closed form solution for vulnerable options with Heston's stochastic volatility
• Pricing vulnerable options under a stochastic volatility model
• Valuation of vulnerable American options with correlated credit risk
• ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing when underlying stock returns are discontinuous
• Unnamed Item

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