Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete Information
Joint Authors
Jiahui, Yang
Shengwu, Zhou
Haitao, Zhou
Kaiqiang, Guo
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-05-20
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
In this paper, the closed-form pricing formula for the European vulnerable option with credit risk and jump risk under incomplete information was derived.
Noise was introduced to the option writers assets while the underlying asset price and the value of corporation were assumed to follow the jump-diffusion processes.
Finally the numerical experiment showed that jumps of underlying assets would increase the value of the option, but noise of corporation value was opposite.
American Psychological Association (APA)
Jiahui, Yang& Shengwu, Zhou& Haitao, Zhou& Kaiqiang, Guo. 2019. Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete Information. Discrete Dynamics in Nature and Society،Vol. 2019, no. 2019, pp.1-8.
https://search.emarefa.net/detail/BIM-1146442
Modern Language Association (MLA)
Jiahui, Yang…[et al.]. Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete Information. Discrete Dynamics in Nature and Society No. 2019 (2019), pp.1-8.
https://search.emarefa.net/detail/BIM-1146442
American Medical Association (AMA)
Jiahui, Yang& Shengwu, Zhou& Haitao, Zhou& Kaiqiang, Guo. Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete Information. Discrete Dynamics in Nature and Society. 2019. Vol. 2019, no. 2019, pp.1-8.
https://search.emarefa.net/detail/BIM-1146442
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1146442
