Pricing European vanilla options under a jump-to-default threshold diffusion model

DOI10.1016/j.cam.2018.04.039zbMath1395.91452OpenAlexW2805794920MaRDI QIDQ724526

Yiming Jiang, Shiyu Song, Yong Jin Wang

Publication date: 26 July 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.04.039

zbMATH Keywords

Laplace transformGreen's functionoption pricingfirst hitting timethreshold effectjump-to-default risk

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations ⋮ A Markov chain approximation scheme for option pricing under skew diffusions

Cites Work

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