Analytical pricing of vulnerable options under a generalized jump-diffusion model
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- scientific article; zbMATH DE number 7088123 (Why is no real title available?)
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Cited in
(30)- Exchange option pricing in jump-diffusion models based on Esscher transform
- CVA and vulnerable options pricing by correlation expansions
- Vulnerable European option pricing models when underlying asset returns are jump-diffusion processes
- Pricing vulnerable options under a Markov-modulated regime switching model
- Pricing vulnerable option under jump-diffusion model with incomplete information
- A closed-form GARCH valuation model for power exchange options with counterparty risk
- Approximate value adjustments for European claims
- Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
- Pricing vulnerable claims in a Lévy-driven model
- The European vulnerable option pricing with jumps based on a mixed model
- CVA and vulnerable options in stochastic volatility models
- Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
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- Pricing vulnerable lookback options using Laplace transforms
- Pricing vulnerable options with market prices of common jump risks under regime-switching models
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- Analytical valuation of vulnerable options in a discrete-time framework
- Multiple jump-diffusion models and vulnerable European option pricing
- The pricing of dynamic fund protection with default risk
- Pricing vulnerable power option under a CEV diffusion
- Analytical valuation of vulnerable European and Asian options in intensity-based models
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- Pricing of vulnerable power exchange option under the hybrid model
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- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
- CVA in fractional and rough volatility models
- Pricing and hedging vulnerable option with funding costs and collateral
- Simplified approach to valuation of vulnerable exchange option under a reduced-form model
- Valuing fade-in options with default risk in Heston-Nandi GARCH models
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