Pricing vulnerable options under correlated skew Brownian motions

2022 ◽  
Author(s):  
Che Guo ◽  
Xingchun Wang
Keyword(s):  
Brownian Motions ◽  
Vulnerable Options

The Pricing of Vulnerable Options Under Jump-Diffusion Model

2013 ◽  
Vol 15 (3) ◽  
pp. 204
Author(s):  
Chixiang CHEN ◽  
Biyi SHEN ◽  
Guangyu YANG
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Jump Diffusion Model ◽  
Vulnerable Options

Optimal Control of Stochastic Systems Driven by Fractional Brownian Motions

2014 ◽  
Author(s):  
Tyrone E. Duncan ◽  
Bozenna Pasik-Duncan
Keyword(s):  
Optimal Control ◽  
Stochastic Systems ◽  
Brownian Motions ◽  
Fractional Brownian Motions

Pricing Vulnerable Options with Copulas

2002 ◽  
Author(s):  
Umberto Cherubini ◽  
Elisa Luciano
Keyword(s):  
Vulnerable Options

scholarly journals Hydrodynamics and Brownian motions of a spheroid near a rigid wall

2015 ◽  
Vol 142 (19) ◽  
pp. 194901 ◽  
Author(s):  
M. De Corato ◽  
F. Greco ◽  
G. D’Avino ◽  
P. L. Maffettone
Keyword(s):  
Rigid Wall ◽  
Brownian Motions

scholarly journals Boundary Harnack principle for subordinate Brownian motions

2009 ◽  
Vol 119 (5) ◽  
pp. 1601-1631 ◽  
Author(s):  
Panki Kim ◽  
Renming Song ◽  
Zoran Vondraček
Keyword(s):  
Boundary Harnack Principle ◽  
Brownian Motions
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