The authors are grateful to the anonymous referee and the editor, Robert I. Webb, for their valuable comments and suggestions. All errors are our own. This work was supported by National Natural Science Foundation of China (No. 71272179 and No. 11271203). L. Tian was supported by “Program for New Century Excellent Talents in University” of the Ministry of Education in China. X. Wang was also supported by the China Scholarship Council (CSC, File No. 201206200026) and the Ministry of Education of China under a Scholarship Award for Excellent Doctoral Student.
Pricing Vulnerable Options with Correlated Credit Risk Under Jump-Diffusion Processes
Version of Record online: 7 JUN 2013
© 2013 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 34, Issue 10, pages 957–979, October 2014
How to Cite
Tian, L., Wang, G., Wang, X. and Wang, Y. (2014), Pricing Vulnerable Options with Correlated Credit Risk Under Jump-Diffusion Processes. J. Fut. Mark., 34: 957–979. doi: 10.1002/fut.21629
- Issue online: 26 AUG 2014
- Version of Record online: 7 JUN 2013
- Manuscript Accepted: 27 APR 2013
- Manuscript Received: 20 MAY 2011
- National Natural Science Foundation of China. Grant Numbers: 71272179, 11271203
- China Scholarship Council. Grant Number: 201206200026
- Ministry of Education of China under a Scholarship Award for Excellent Doctoral Student
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