SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Analytical pricing of vulnerable options under a generalized jump–diffusion model · Study

ArticleShelves

ArticleAnalytical pricing of vulnerable options under a generalized jump–diffusion model

Farzad Alavi Fard2014

Article2014

Analytical pricing of vulnerable options under a generalized jump–diffusion model

Farzad Alavi Fard

51 citations·0/0 files stored·Insurance Mathematics and Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Probability and Risk Models Fuzzy Systems and Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 51 citations exist upstream.

References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1973Theory of Rational Option Pricing 2005Theory of rational option pricing 2016Numerical solution of stochastic differential equations 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 1999Modeling Term Structures of Defaultable Bonds 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

Cited by

2022Vulnerable European option pricing in a Markov regime-switching Heston model with stochastic interest rate 2015European Option Pricing With a Fast Fourier Transform Algorithm for Big Data Analysis 2016ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK 2021Analytical valuation of vulnerable European and Asian options in intensity-based models 2016Differences in the Prices of Vulnerable Options with Different Counterparties

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 11 shared references 2017Pricing Vulnerable Options with Jump Clusteringarticle · 10 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 9 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 9 shared references 2018Credit Risk Research: Review and Agendaarticle · 9 shared references 2008The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Modelarticle · 9 shared references

Details

Year2014

Typearticle

Published2014-10-30

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations51

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.insmatheco.2014.10.007

openalex_workW2149661789

Links

Imported from OpenAlex (CC0) — nothing here is generated.