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Communications in Statistics - Simulation and Computation Volume 52, 2023 - Issue 11
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Article

Pricing vulnerable American put options under jump-diffusion processes when corporate liabilities are random

Shengan Wanga School of Science, Beijing University of Posts and Telecommunications, Beijing, ChinaView further author information
,
Qing Zhoua School of Science, Beijing University of Posts and Telecommunications, Beijing, ChinaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-0068-0611View further author information
ORCID Icon &
Weilin Xiaob School of Management, Zhejiang University, Hangzhou, ChinaORCID Iconhttps://orcid.org/0000-0001-9763-4744View further author information
ORCID Icon
Pages 5462-5482 | Received 29 Oct 2020, Accepted 03 Oct 2021, Published online: 19 Oct 2021

References

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