Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy

2016 ◽  
Vol 16 (7) ◽  
pp. 1129-1145 ◽  
Author(s):  
Huawei Niu ◽  
Dingcheng Wang
Keyword(s):  
Diffusion Processes ◽  
Jump Diffusion ◽  
Jump Diffusion Processes ◽  
Vulnerable Options

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
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