In this paper, we consider vulnerable options with jump risk and liquidity risk. In the proposed framework, we allow discontinuous changes in the information processes and the liquidity discount factors as well, and default risk is taken into consideration. Specially, we investigate the effect of jumps in the liquidity discount factors and find that the effects of jumps in the liquidity discount factors are stable for different maturities and alternative moneynesses. Further, option prices behave differently with respect to alternative intensities of common jumps, depending on whether there are jumps in the liquidity discount factors or not.

中文翻译：

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为具有跳动风险和流动性风险的脆弱期权定价

在本文中，我们考虑具有跳跃风险和流动性风险的脆弱期权。在提出的框架中，我们允许信息流程和流动性折现因子之间的不连续变化，并且考虑了违约风险。特别地，我们研究了流动性折现因子的跳跃效应，发现流动性折现因子的跳跃效应对于不同的到期日和替代货币是稳定的。此外，期权价格在普通跳跃的替代强度方面表现不同，这取决于流动性折现因子是否存在跳跃。