Pricing vulnerable American put options under jump-diffusion processes when corporate liabilities are random

DOI10.1080/03610918.2021.1990325OpenAlexW3207644208MaRDI QIDQ6181894

Unnamed Author, Weilin Xiao, Qing Zhou

Publication date: 23 January 2024

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

Full work available at URL: https://doi.org/10.1080/03610918.2021.1990325

zbMATH Keywords

jump-diffusionmulti-exercisable optionrandom liabilityvulnerable American option

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Pricing vulnerable options with correlated credit risk under jump-diffusion processes when corporate liabilities are random
• Valuation of vulnerable American options with correlated credit risk
• PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES
• Pricing vulnerable European options with stochastic default barriers
• Option pricing when underlying stock returns are discontinuous

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