|
|||||
|
|
Pricing Vulnerable Options with Correlated Credit Risk Under Jump-diffusion Processes When Corporate Liabilities Are Random |
|
| Authors: | Zhou Qing Yang Jiao-jiao Wu Wei-xing |
| Affiliation: | 1.School of Science, Beijing University of Posts and Telecommunications, Beijing, 100876, China ;2.School of Banking and Finance, University of International Business and Economics, Beijing, 100029, China ; |
| Abstract: | Acta Mathematicae Applicatae Sinica, English Series - In this paper, we consider an improved model of pricing vulnerable options with credit risk. We assume that the vulnerable European options not... |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ | |