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"Pricing European vanilla options under a jump-to-default threshold ..."

Yiming Jiang, Shiyu Song, Yongjin Wang (2018)

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DOI: 10.1016/J.CAM.2018.04.039

access: closed

type: Journal Article

metadata version: 2023-07-18

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Yiming Jiang, Shiyu Song, Yongjin Wang:
Pricing European vanilla options under a jump-to-default threshold diffusion model. J. Comput. Appl. Math. 344: 438-456 (2018)

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