Open AccessPricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
Author(s) -
Qingqing Yang,
WaiKi Ching,
Wan-Hua He,
Tak Kuen Siu
Publication year - 2019
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2018044
Subject(s) - valuation (finance) , jump diffusion , mathematics , jump , computer science , mathematical economics , mathematical optimization , actuarial science , economics , physics , finance , quantum mechanics