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

By Lihui Tian, Guanying Wang, Xingchun Wang, Yongjin Wang. 2014

90 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/b90f9c5fd7b0654368b3494fe83eedc89797c3b6

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In Finance

1. Weidong Xu
2. Yong Ma
3. K. Shrestha

Citations in the corpus

• Pricing Vulnerable Options with Jump Clustering (2017, methodology): “Conditional on Q 1 T and Q 2 T , the option prices can be derived by replacing S 0 and V 0 in Tian et al. (2014) with S 0 Q 1 T and V 0 Q 2 T , respectively.”