Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment (Q6051343): Difference between revisions

Latest revision as of 22:53, 2 August 2024

scientific article; zbMATH DE number 7740223

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English	Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment	scientific article; zbMATH DE number 7740223

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instance of

scholarly article

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title

Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment (English)

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Mathematics and Financial Economics

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publication date

20 September 2023

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zbMATH Keywords

vulnerable options

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actuarial approach

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mixed fractional Brownian motion

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stochastic corporate liabilities

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Poisson jump

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s11579-023-00339-7

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cites work

A closed form solution for vulnerable options with Heston's stochastic volatility

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Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension

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The pricing of vulnerable options with double Mellin transforms

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Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy

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Pricing vulnerable options with stochastic volatility

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Pricing of defaultable options with multiscale generalized Heston's stochastic volatility

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A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates

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Pricing vulnerable power exchange options in an intensity based framework

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Closed-form pricing formula for foreign equity option with credit risk

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Pricing vulnerable options with jump risk and liquidity risk

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Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility

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A CLOSED-FORM GARCH VALUATION MODEL FOR POWER EXCHANGE OPTIONS WITH COUNTERPARTY RISK

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Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes

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Valuing fade-in options with default risk in Heston-Nandi GARCH models

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Pricing vulnerable European options with stochastic default barriers

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Pricing vulnerable options with correlated credit risk under jump-diffusion processes when corporate liabilities are random

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Fractional Brownian Motions, Fractional Noises and Applications

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Long-Term Memory in Stock Market Prices

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Stochastic analysis of fractional brownian motions

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Arbitrage with Fractional Brownian Motion

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Stochastic Calculus for Fractional Brownian Motion I. Theory

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FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE

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Q5461112

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A General Fractional White Noise Theory And Applications To Finance

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The Malliavin Calculus and Related Topics

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The Pricing of Options and Corporate Liabilities

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A note on Wick products and the fractional Black-Scholes model

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The fractional mixed fractional Brownian motion.

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Stochastic calculus for fractional Brownian motion and related processes.

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Mixed fractional Brownian motion

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OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS

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Pricing currency option in a mixed fractional Brownian motion with jumps environment

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Pricing geometric Asian power options under mixed fractional Brownian motion environment

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Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion

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Valuation of bid and ask prices for European options under mixed fractional Brownian motion

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An actuarial approach to option pricing under the physical measure and without market assumptions

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Option pricing when underlying stock returns are discontinuous

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On the mixed fractional Brownian motion

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Valuation of the vulnerable option price based on mixed fractional Brownian motion

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Identifiers

zbMATH Open document ID

1522.91268

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DOI

10.1007/s11579-023-00339-7

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6051343

@@ Property / cites work @@
+A closed form solution for vulnerable options with Heston's stochastic volatility
+Normal rank
@@ Property / cites work @@
+Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
+Normal rank
@@ Property / cites work @@
+The pricing of vulnerable options with double Mellin transforms
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable options with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Pricing of defaultable options with multiscale generalized Heston's stochastic volatility
+Normal rank
@@ Property / cites work @@
+A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable power exchange options in an intensity based framework
+Normal rank
@@ Property / cites work @@
+Closed-form pricing formula for foreign equity option with credit risk
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable options with jump risk and liquidity risk
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
+Normal rank
@@ Property / cites work @@
+A CLOSED-FORM GARCH VALUATION MODEL FOR POWER EXCHANGE OPTIONS WITH COUNTERPARTY RISK
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
+Normal rank
@@ Property / cites work @@
+Valuing fade-in options with default risk in Heston-Nandi GARCH models
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable European options with stochastic default barriers
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable options with correlated credit risk under jump-diffusion processes when corporate liabilities are random
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+Long-Term Memory in Stock Market Prices
@@ Property / cites work: Long-Term Memory in Stock Market Prices / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic analysis of fractional brownian motions
+Normal rank
@@ Property / cites work @@
+Arbitrage with Fractional Brownian Motion
@@ Property / cites work: Arbitrage with Fractional Brownian Motion / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion I. Theory
+Normal rank
@@ Property / cites work @@
+FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
+Normal rank
@@ Property / cites work @@
+Q5461112
@@ Property / cites work: Q5461112 / rank @@
+Normal rank
@@ Property / cites work @@
+A General Fractional White Noise Theory And Applications To Finance
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+A note on Wick products and the fractional Black-Scholes model
+Normal rank
@@ Property / cites work @@
+The fractional mixed fractional Brownian motion.
@@ Property / cites work: The fractional mixed fractional Brownian motion. / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for fractional Brownian motion and related processes.
+Normal rank
@@ Property / cites work @@
+Mixed fractional Brownian motion
@@ Property / cites work: Mixed fractional Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS
+Normal rank
@@ Property / cites work @@
+Pricing currency option in a mixed fractional Brownian motion with jumps environment
+Normal rank
@@ Property / cites work @@
+Pricing geometric Asian power options under mixed fractional Brownian motion environment
+Normal rank
@@ Property / cites work @@
+Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Valuation of bid and ask prices for European options under mixed fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+An actuarial approach to option pricing under the physical measure and without market assumptions
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+On the mixed fractional Brownian motion
@@ Property / cites work: On the mixed fractional Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation of the vulnerable option price based on mixed fractional Brownian motion
+Normal rank