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cs.CE2007★ 1 cited
A Unified Framework for Pricing Credit and Equity Derivatives
Erhan Bayraktar, Bo Yang
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit…
cs.CE2007★ 1 cited
Pricing Asian Options for Jump Diffusions
Erhan Bayraktar, Hao Xing
We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, ex…