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• W2563372251 abstract "This paper evaluates vulnerable American put options under jump–diffusion assumptions on the underlying asset and the assets of the counterparty. Sudden shocks on the asset prices are described as a compound Poisson process. Analytical pricing formulae of vulnerable European put options and vulnerable twice-exercisable European put options are derived. Employing the two-point Geske and Johnson method, we derive an approximate analytical pricing formula of vulnerable American put options under jump–diffusions. Numerical simulations are performed for investigating the impacts of jumps and default risk on option prices." @default.
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• W2563372251 date "2016-12-14" @default.
• W2563372251 modified "2023-10-16" @default.
• W2563372251 title "PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES" @default.
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• W2563372251 doi "https://doi.org/10.1017/s0269964816000486" @default.
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