Pricing vulnerable options with stochastic default barriers
Author:
Publisher
Elsevier BV
Subject
Finance
Reference16 articles.
1. Pricing basket and asian options under the jump-diffusion process;Bae;J. Futures Markets,2011
2. Empirical performance of alternative option pricing models;Bakshi;J. Financ.,1997
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4. Dynamic jump intensities and risk premiums: evidence from s&p500 returns and options;Christoffersen;J. Financ. Econ.,2012
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