Pricing black-scholes options with correlated credit risk and jump risk
Weidong Xu, Weijun Xu and Weilin Xiao
| Year of publication: |
2015
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|---|---|
| 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 | Optionsgeschäft | Option trading |
| 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/10010482058