Valuation of vulnerable American options with correlated credit risk

DOI10.1007/s11147-007-9007-5zbMath1274.91406MaRDI QIDQ2462884

Lung-Fu Chang, Mao-Wei Hung

Publication date: 5 December 2007

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-007-9007-5

zbMATH Keywords

default; American options; derivatives; martingale; credit risk; multi-exercisable

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY, PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES, Pricing vulnerable American put options under jump-diffusion processes when corporate liabilities are random, Pricing options with credit risk in a reduced form model, Explicit formula for the valuation of catastrophe put option with exponential jump and default risk, The pricing of vulnerable options in a fractional Brownian motion environment, Valuation of the vulnerable option price based on mixed fractional Brownian motion, Pricing vulnerable options with market prices of common jump risks under regime-switching models, Pricing vulnerable options with stochastic volatility, Closed-form pricing formula for foreign equity option with credit risk, Pricing vulnerable options with correlated credit risk under jump-diffusion processes when corporate liabilities are random, Closed-form pricing formula for exchange option with credit risk, Pricing vulnerable power exchange options in an intensity based framework, Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Martingales and stochastic integrals in the theory of continuous trading
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• The Numerical Evaluation of Certain Multivariate Normal Integrals