In this paper, we combine the reduced-form model with the structural model to discuss the European vulnerable option pricing. We define that the default occurs when the default process jumps or the corporate goes bankrupt. Assuming that the underlying asset follows the jump-diffusion process and the default follows the Vasicek model, we can have the expression of European vulnerable option. Then we use the measure transformation and martingale method to derive the explicit solution of it.
from #AlexandrosSfakianakis via Alexandros G.Sfakianakis on Inoreader http://ift.tt/2hsNavS
via IFTTT
Εγγραφή σε:
Σχόλια ανάρτησης (Atom)
Δημοφιλείς αναρτήσεις
-
Publication date: Available online 4 January 2018 Source: European Journal of Radiology Author(s): Peiyao Zhang, Jing Wang, Qin Xu, Zhen...
-
Dtsch med Wochenschr DOI: 10.1055/s-0043-100054 Hintergrund und Fragestellung Ein etablierter Weg, die optimale Behandlung von Tumorpatien...
-
Publication date: March 2017 Source: Free Radical Biology and Medicine, Volume 104 from #AlexandrosSfakianakis via Alexandros G.Sfak...
-
Background Hyperthyroidism is associated with increased thrombotic risk. As contact system activation through formation of neutrophil extrac...
-
Antibodies, Vol. 9, Pages 21: Construction of Ant... In Vivo and In Vitro Evaluation of Bull Semen Pro... Vertebral artery fenestration mimi...
-
Deepak Thapa, Vanita Ahuja, Deepanshu Dhiman Indian Journal of Anaesthesia 2017 61(12):1012-1014 from #AlexandrosSfakianakis via Alexa...
-
Editors' Recognition for Reviewing in 2020 No abstract available Establishing Satellite Lung Cancer Screening Sites With Telehealth to A...
-
ecancer is supporting #BowelCancerAwarenessMonth https://t.co/opXxCAAxzE from #AlexandrosSfakianakis via Alexandros G.Sfakianakis on Inore...
-
Abstract Silvicultural models are often developed and applied without due consideration of fire modelling. Yet, this information is import...
Δεν υπάρχουν σχόλια:
Δημοσίευση σχολίου