Analytical pricing of vulnerable options under a generalized jump-diffusion model
Farzad Alavi Fard
| Year of publication: |
2015
|
|---|---|
| Authors: | Fard, Farzad Alavi |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 60.2015, p. 19-28
|
| Subject: | Vulnerable options | Reduced form | Esscher-Girsanov transform | Generalized jump | Credit risk | Optionspreistheorie | Option pricing theory | Kreditrisiko | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010484842