Sección: ArtículosTítulo: Analytical pricing of vulnerable options under a generalized jump-diffusion model / Farzad Alavi FardAutor: Fard, Farzad AlaviNotas: 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 transformRegistros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 12/01/2015 Volumen 60 Número - enero 2015 Otras clasificaciones: 6Derechos: In Copyright (InC)Referencias externas:
