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

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<dc:creator>Fard, Farzad Alavi</dc:creator>
<dc:date>2015-01-12</dc:date>
<dc:description xml:lang="es">Sumario: In this paper we propose a model to price European vulnerable options. We formulate their credit risk in a reduced form model and the dynamics of the spot price in a completely random generalized jumpdiffusion model, which nests a number of important models in finance. We obtain a closed-form price for the vulnerable option by (1) determining an equivalent martingale measure, using the Esscher transform and (2) manipulating the pay-off structure of the option four further times, by using the EsscherGirsanov transform</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/151184.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Analytical pricing of vulnerable options under a generalized jump-diffusion model</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 12/01/2015 Volumen 60 Número  - enero 2015 </dc:relation>
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