Pricing Vulnerable Options with Correlated Credit Risk Under Jump-diffusion Processes When Corporate Liabilities Are Random

Qing ZHOU, Jiao-jiao YANG, Wei-xing WU

Acta Mathematicae Applicatae Sinica(English Series) . 2019, (2): 305 -318 . DOI: 10.1007/s10255-019-0821-y