Pricing black-scholes options with correlated credit risk and jump risk
Year of publication: |
2015
|
---|---|
Authors: | Xu, Weidong ; Xu, Weijun ; Xiao, Weilin |
Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 22.2015, 1/3, p. 87-93
|
Subject: | derivatives | jump diffusion model | default | credit risk | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
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