Pricing European Vulnerable Options with Jumps and Stochastic Default Obstacles Barrier under Regime Switching
In this paper, we propose an enhanced model for pricing vulnerable options. Specifically, our model assumes that parameters such as interest rates, jump intensity, and asset value volatility are governed by an observable continuous-time finite-state Markov chain. We take into account European vulner...
| Main Authors: | , |
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| Format: | Article |
| Sprog: | English |
| Udgivet: |
MDPI AG
2023-10-01
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| Serier: | Mathematics |
| Fag: | |
| Online adgang: | https://www.mdpi.com/2227-7390/11/19/4155 |