Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete Information
In this paper, the closed-form pricing formula for the European vulnerable option with credit risk and jump risk under incomplete information was derived. Noise was introduced to the option writers assets while the underlying asset price and the value of corporation were assumed to follow the jump-d...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Wiley
2019-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2019/5848375 |
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| _version_ | 1832552766738792448 |
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| author | Yang Jiahui Zhou Shengwu Zhou Haitao Guo Kaiqiang |
| author_facet | Yang Jiahui Zhou Shengwu Zhou Haitao Guo Kaiqiang |
| author_sort | Yang Jiahui |
| collection | DOAJ |
| description | In this paper, the closed-form pricing formula for the European vulnerable option with credit risk and jump risk under incomplete information was derived. Noise was introduced to the option writers assets while the underlying asset price and the value of corporation were assumed to follow the jump-diffusion processes. Finally the numerical experiment showed that jumps of underlying assets would increase the value of the option, but noise of corporation value was opposite. |
| format | Article |
| id | doaj-art-45653f52ab814fd4b3e1674df4a4854c |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2019-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-45653f52ab814fd4b3e1674df4a4854c2025-02-03T05:57:50ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2019-01-01201910.1155/2019/58483755848375Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete InformationYang Jiahui0Zhou Shengwu1Zhou Haitao2Guo Kaiqiang3School of Mathematics, China University of Mining and Technology, Xuzhou 221116, ChinaSchool of Mathematics, China University of Mining and Technology, Xuzhou 221116, ChinaSchool of Mathematics, China University of Mining and Technology, Xuzhou 221116, ChinaSchool of Mathematics, China University of Mining and Technology, Xuzhou 221116, ChinaIn this paper, the closed-form pricing formula for the European vulnerable option with credit risk and jump risk under incomplete information was derived. Noise was introduced to the option writers assets while the underlying asset price and the value of corporation were assumed to follow the jump-diffusion processes. Finally the numerical experiment showed that jumps of underlying assets would increase the value of the option, but noise of corporation value was opposite.http://dx.doi.org/10.1155/2019/5848375 |
| spellingShingle | Yang Jiahui Zhou Shengwu Zhou Haitao Guo Kaiqiang Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete Information Discrete Dynamics in Nature and Society |
| title | Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete Information |
| title_full | Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete Information |
| title_fullStr | Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete Information |
| title_full_unstemmed | Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete Information |
| title_short | Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete Information |
| title_sort | pricing vulnerable option under jump diffusion model with incomplete information |
| url | http://dx.doi.org/10.1155/2019/5848375 |
| work_keys_str_mv | AT yangjiahui pricingvulnerableoptionunderjumpdiffusionmodelwithincompleteinformation AT zhoushengwu pricingvulnerableoptionunderjumpdiffusionmodelwithincompleteinformation AT zhouhaitao pricingvulnerableoptionunderjumpdiffusionmodelwithincompleteinformation AT guokaiqiang pricingvulnerableoptionunderjumpdiffusionmodelwithincompleteinformation |