Pricing vulnerable path-dependent options using integral transforms
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- scientific article; zbMATH DE number 6129996
Cites work
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 5228515 (Why is no real title available?)
- A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
- A closed-form solution for lookback options using Mellin transform approach
- An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
- An integral equation representation approach for valuing Russian options with a finite time horizon
- Mellin transform method for European option pricing with Hull-White stochastic interest rate
- Option pricing with Mellin transforms
- Pricing vulnerable options under a stochastic volatility model
- QUANTO LOOKBACK OPTIONS
- Stochastic differential equations. An introduction with applications.
- The pricing of vulnerable options with double Mellin transforms
- Valuing vulnerable geometric Asian options
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- Some properties concerning the analysis of generalized Wright function
- A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
- Pricing external barrier options under a stochastic volatility model
- Variational inequality arising from variable annuity with mean reversion environment
- Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield
- Pricing vulnerable lookback options using Laplace transforms
- Analytic valuation of European continuous-installment barrier options
- VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
- Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
- The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model
- Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images
- Pricing of fixed-strike lookback options on assets with default risk
- Pricing vulnerable fader options under stochastic volatility models
- PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
- Two frameworks for pricing defaultable derivatives
- Closed-form pricing formula for foreign equity option with credit risk
- The pricing of vulnerable options with double Mellin transforms
- Pricing vulnerable power exchange options in an intensity based framework
- An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
- Valuing of timer path-dependent options
- The European vulnerable option pricing with jumps based on a mixed model
- Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
- Pricing vulnerable power option under a CEV diffusion
- The pricing of vulnerable power options with double Mellin transforms
- Pricing path-dependent options under the Hawkes jump diffusion process
- The pricing of dynamic fund protection with default risk
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