Integrals of higher binary options and defaultable bonds with discrete default information

MaRDI QIDQ5358806zbMATH OpenFDO

Authors Hyong-Chol O, Dong-Hyok Kim, Jong-Jun Jo, SongHun Ri

Publication date 22 September 2017

Full work available at URL https://arxiv.org/abs/1305.6988, http://fcag-egypt.com/Journals/EJMAA/Vol2(1)_Papers/Volume2(1)_Paper17_Abstract.html

zbMATH Keywords

default recoverydefaultable bonddiscrete default barrierdiscrete default intensityendogenousexogenousexpected defaulthigher order binary optionsintegral of binary or nothingreduced form approachstructural approachunexpected default

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cited in

(4)

• Digital barrier options pricing: an improved Monte Carlo algorithm
• Analytical pricing of defaultable discrete coupon bonds in unified two-factor model of structural and reduced form models
• Higher order binaries with time dependent coefficients and two factors-model for defaultable bond with discrete default information
• General properties of solutions to inhomogeneous Black-Scholes equations with discontinuous maturity payoffs

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