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A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk
A Loan Portfolio Model Random Liabilities Systemic Jump Risk
2010/10/20
We extend the Vasi\v{c}ek loan portfolio model to a setting where liabilities fluctuate randomly and asset values may be subject to systemic jump risk. We derive the probability distribution of the pe...
Pricing Path-Dependent Options with Jump Risk via Laplace Transforms
jump diffusion American options barrier and lookback options
2009/5/7
We present analytical solutions for two-dimensional Laplace transforms of barrier option prices, as well as an approximation based on Laplace transforms for the prices of finite-time horizon American...
Pricing Path-Dependent Options with Jump Risk via Laplace Transforms
jump diffusion American options barrier and lookback options
2010/12/7
We present analytical solutions for two-dimensional Laplace transforms of barrier option prices, as well as an approximation based on Laplace transforms for the prices of finite-time horizon American ...