The European Vulnerable Option Pricing with Jumps Based on a Mixed Model
Joint Authors
Wang, Chao
He, Jianmin
Li, Shouwei
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-12-27
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
In this paper, we combine the reduced-form model with the structural model to discuss the European vulnerable option pricing.
We define that the default occurs when the default process jumps or the corporate goes bankrupt.
Assuming that the underlying asset follows the jump-diffusion process and the default follows the Vasicek model, we can have the expression of European vulnerable option.
Then we use the measure transformation and martingale method to derive the explicit solution of it.
American Psychological Association (APA)
Wang, Chao& He, Jianmin& Li, Shouwei. 2016. The European Vulnerable Option Pricing with Jumps Based on a Mixed Model. Discrete Dynamics in Nature and Society،Vol. 2016, no. 2016, pp.1-9.
https://search.emarefa.net/detail/BIM-1103591
Modern Language Association (MLA)
Wang, Chao…[et al.]. The European Vulnerable Option Pricing with Jumps Based on a Mixed Model. Discrete Dynamics in Nature and Society No. 2016 (2016), pp.1-9.
https://search.emarefa.net/detail/BIM-1103591
American Medical Association (AMA)
Wang, Chao& He, Jianmin& Li, Shouwei. The European Vulnerable Option Pricing with Jumps Based on a Mixed Model. Discrete Dynamics in Nature and Society. 2016. Vol. 2016, no. 2016, pp.1-9.
https://search.emarefa.net/detail/BIM-1103591
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1103591