Pricing Vulnerable Options with Correlated Credit Risk...

Journal of Futures Markets 2014 / 10 Vol. 34; Iss. 10

Pricing Vulnerable Options with Correlated Credit Risk Under Jump-Diffusion Processes

Tian, Lihui, Wang, Guanying, Wang, Xingchun, Wang, Yongjin
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Volume:
34
Language:
english
Journal:
Journal of Futures Markets
DOI:
10.1002/fut.21629
Date:
October, 2014
File:
PDF, 540 KB
english, 2014
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