Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete Information

<p>The influence of correlation coefficient <svg height="9.39034pt" id="M84" style="vertical-align:-3.42943pt" version="1.1" viewbox="-0.0498162 -5.96091 15.6795 9.39034" width="15.6795pt" xmlns="http://www.w3.org/2000/svg"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M516 277C516 378 460 448 376 448C335 448 288 434 240 401C158 345 127 277 107 159C53 -161 38 -221 23 -247L28 -261C43 -260 95 -250 114 -226C122 -216 129 -199 146 -75C152 -29 157 0 164 31C182 9 206 -12 237 -12C267 -12 325 8 376 46C451 102 516 179 516 277ZM432 259C432 134 366 40 259 40C236 40 204 48 171 76L195 203C219 327 253 400 326 400C398 400 432 336 432 259Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,6.162,3.132)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,10.594,3.132)"><path d="M414 144C384 79 371 75 317 75H135L276 221C367 316 408 376 408 465C408 570 327 635 237 635C179 635 131 609 100 575L42 494L67 471C94 510 138 565 205 565C277 565 321 517 321 435C321 348 258 270 195 195C146 137 88 81 33 26V0H411C423 44 433 88 446 135L414 144Z"></path></g></svg> on vulnerable call option with incomplete information.</p>

Discrete Dynamics in Nature and Society

fig4

Figure 4

Figure 4: Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete Information 