|
|||||
|
|
Pricing vulnerable options with jump risk and liquidity risk |
|
| Authors: | Wang Xingchun |
| Affiliation: | 1.School of International Trade and Economics, University of International Business and Economics, Beijing, 100029, China ; |
| Abstract: | Review of Derivatives Research - In this paper, we consider vulnerable options with jump risk and liquidity risk. In the proposed framework, we allow discontinuous changes in the information... |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ | |