Pricing European vanilla options under a jump-to-default threshold diffusion model. - Yiming Jiang 005; Shiyu Song; Yongjin Wang (J. Comput. Appl. Math., 2018)

Some explicit results on one kind of sticky diffusion. - Yiming Jiang 005; Shiyu Song; Yongjin Wang (J. Appl. Probab., 2019)