Pricing Vulnerable Options with Correlated Credit Risk Under Jump-diffusion Processes When Corporate Liabilities Are Random

2019 ◽  
Vol 35 (2) ◽  
pp. 305-318
Author(s):  
Qing Zhou ◽  
Jiao-jiao Yang ◽  
Wei-xing Wu
Keyword(s):  
Credit Risk ◽  
Diffusion Processes ◽  
Jump Diffusion ◽  
Jump Diffusion Processes ◽  
Vulnerable Options ◽  
Corporate Liabilities

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

2013 ◽  
Vol 34 (10) ◽  
pp. 957-979 ◽  
Author(s):  
Lihui Tian ◽  
Guanying Wang ◽  
Xingchun Wang ◽  
Yongjin Wang
Keyword(s):  
Credit Risk ◽  
Diffusion Processes ◽  
Jump Diffusion ◽  
Jump Diffusion Processes ◽  
Vulnerable Options

scholarly journals Power Exchange Option with a Hybrid Credit Risk under Jump-Diffusion Model

Mathematics ◽  
2021 ◽  
Vol 10 (1) ◽  
pp. 53
Author(s):  
Junkee Jeon ◽  
Geonwoo Kim
Keyword(s):  
Credit Risk ◽  
Structural Model ◽  
Risk Model ◽  
Diffusion Processes ◽  
Jump Diffusion ◽  
Reduced Form ◽  
Jump Diffusion Processes ◽  
Power Exchange ◽  
Jump Diffusion Model ◽  
Exchange Option

In this paper, we study the valuation of power exchange options with a correlated hybrid credit risk when the underlying assets follow the jump-diffusion processes. The hybrid credit risk model is constructed using two credit risk models (the reduced-form model and the structural model), and the jump-diffusion processes are proposed based on the assumptions of Merton. We assume that the dynamics of underlying assets have correlated continuous terms as well as idiosyncratic and common jump terms. Under the proposed model, we derive the explicit pricing formula of the power exchange option using the measure change technique with multidimensional Girsanov’s theorem. Finally, the formula is presented as the normal cumulative functions and the infinite sums.

Real Options Under Jump Diffusion Processes: What Types of Jumps?

2009 ◽  
Author(s):  
Xianfeng Jiang ◽  
Yongdong Shi ◽  
George J. Jiang
Keyword(s):  
Real Options ◽  
Diffusion Processes ◽  
Jump Diffusion ◽  
Jump Diffusion Processes
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