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scientific article; zbMATH DE number 6402122 - MaRDI portal

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DOI10.3969/J.ISSN.1000-5641.2014.01.003zbMath1313.91169MaRDI QIDQ5498175

Lijuan Lu, Xing-Yong Zhang

Publication date: 11 February 2015

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

zbMATH Keywords

credit risks vulnerable European option pricing two jump-diffusion process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Pricing vulnerable option under jump-diffusion model with incomplete information

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