Title: Vulnerable European Option Pricing Models when Underlying Assert Returns are Jump-diffusion Processes
Abstract: In this paper, based on the credit risk models, we discuss the problem of vulnerable European option pricing, establish the connection between the exercise of the option involving credit risks and the counterparter’s corporate value and debt, develop a model of option pricing when the stock price dynamics is a jump-diffusion process, and deduces the European option pricing formula when jump risk can’t be priced.
Publication Year: 2008
Publication Date: 2008-01-01
Language: en
Type: article
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Cited By Count: 1
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