Pricing Vulnerable Options with Correlated Credit Risk Under Jump-Diffusion Processes-Reference-Cited by-同舟云学术

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Pricing Vulnerable Options with Correlated Credit Risk Under Jump-Diffusion Processes

Published:2013-06-07 Issue:10 Volume:34 Page:957-979
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Tian Lihui¹,Wang Guanying¹,Wang Xingchun²³,Wang Yongjin²⁴

Affiliation:

1. Lihui Tian and Guanying Wang are at the Institute of Finance and Development; Nankai University; Tianjin China

2. Xingchun Wang and Yongjin Wang are at the School of Mathematical Sciences and LPMC; Nankai University; Tianjin China

3. Xingchun Wang is also at the Mathematical Institute; University of Oxford; Oxford UK

4. Yongjin Wang is also at the School of Business; Nankai University; Tianjin China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21629/fullpdf

Reference24 articles.

1. Telling from discrete data whether the underlying continuous-time model is a diffusion;Aït-Sahalia;Journal of Finance,2002

2. An empirical investigation of continuous-time equity return models;Andersen;Journal of Finance,2002

3. A comparative study of structural models of corporate bond yields: An exploratory investigation;Anderson;Journal of Banking & Finance,2000

4. Pricing basket and Asian options under the jump-diffusion process;Bae;Journal of Futures Markets,2011

5. Empirical performance of alternative option pricing models;Bakshi;Journal of Finance,1997

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