Pricing vulnerable options with correlated credit risk under jump-diffusion processes
Lihui Tian, Guanying Wang, Xingchun Wang and Yongjin Wang
| Year of publication: |
2014
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|---|---|
| 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
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| Subject: | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Kreditrisiko | Credit risk | Theorie | Theory |
| 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/10010508685