Pricing vulnerable options with variable default boundary under jump-diffusion processes

Pricing vulnerable options with variable default boundary under jump-diffusion processes

Abstract For the pricing of vulnerable options, we improve the results of Klein and Inglis [Journal of Banking and Finance] and Tian et al. [The Journal of Futures and Markets], considering the circumstances in which the writers of options face financial crisis. Our pricing model faces the risks of...

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Bibliographic Details
Main Authors: Qing Zhou, Qian Wang, Weixing Wu
Format: Article
Language:English
Published: SpringerOpen 2018-12-01
Series:Advances in Difference Equations
Subjects:
Credit risk
Default
Jump-diffusion
Pricing
Vulnerable option
Online Access:http://link.springer.com/article/10.1186/s13662-018-1915-1

Internet

http://link.springer.com/article/10.1186/s13662-018-1915-1

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