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VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
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- Journal:
- Probability in the Engineering and Informational Sciences / Volume 33 / Issue 1 / January 2019
- Published online by Cambridge University Press:
- 14 February 2018, pp. 81-104
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PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES
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- Journal:
- Probability in the Engineering and Informational Sciences / Volume 31 / Issue 2 / April 2017
- Published online by Cambridge University Press:
- 14 December 2016, pp. 121-138
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