Pricing vulnerable options with correlated credit risk under jump-diffusion processes
Year of publication: |
2014
|
---|---|
Authors: | Tian, Lihui ; Wang, Guanying ; Wang, Xingchun ; Wang, Yongjin |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 34.2014, 10, p. 957-979
|
Subject: | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Kreditrisiko | Credit risk | Theorie | Theory |
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