In this study, we propose a modelling framework for evaluating companies financed by random liabilities, such as insurance companies or commercial banks. In this approach, earnings and costs are driven by double exponential jump–diffusion processes and bankruptcy is declared when the income...

We propose a new algorithm for computing the Greeks in jump-diffusion settings using binomial trees. We further demonstrate that the Greeks for European options converge to the Malliavin Greeks in the continuous time model. Our proposed algorithm is efficient, because the price and the Greeks...

Purpose – The purpose of this paper is to show that market dynamics can significantly influence the lifecycle and value of a supply chain finance (SCF) arrangement. Design/methodology/approach – Based on a review of scientific and trade literature, the authors construct a model of market...