Weak convergence of equity derivatives pricing with default risk

DOI10.1016/j.spl.2015.04.015zbMath1328.91278arXiv1504.02543OpenAlexW2128856694MaRDI QIDQ893958

Qiang Yao, Gaoxiu Qiao

Publication date: 23 November 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.02543

zbMATH Keywords

weak convergencedefault riskhazard process

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Convergence of probability measures (60B10)

Cites Work

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• Weak convergence of tree methods to price options on defaultable assets
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• DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• Option pricing: A simplified approach
• Credit risk: Modelling, valuation and hedging

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