Pricing vulnerable options under jump diffusion processes using double Mellin transform

DOI10.1080/03610918.2020.1864645OpenAlexW3116279741MaRDI QIDQ6171523

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Publication date: 18 July 2023

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2020.1864645

zbMATH Keywords

partial integro-differential equationdouble Mellin transformjump diffusion processvulnerable option

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• The pricing of vulnerable options with double Mellin transforms
• A closed form solution for vulnerable options with Heston's stochastic volatility
• Pricing vulnerable options with stochastic volatility
• Pricing vulnerable options with correlated credit risk under jump-diffusion processes when corporate liabilities are random
• Pricing vulnerable options under a stochastic volatility model
• A new direct method for solving the Black-Scholes equation
• Option pricing when underlying stock returns are discontinuous

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