Effect of institutional deleveraging on option valuation problems
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Publication:1983756
DOI10.3934/JIMO.2020060zbMATH Open1476.91195OpenAlexW3012743182MaRDI QIDQ1983756FDOQ1983756
Authors: Qingqing Yang, Wai-Ki Ching, Wan-Hua He, Na Song 
Publication date: 10 September 2021
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2020060
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- scientific article; zbMATH DE number 5048394
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70)
Cites Work
- The pricing of options and corporate liabilities
- Financial Modelling with Jump Processes
- Occupation times in markov processes
- Stochastic calculus for finance. II: Continuous-time models.
- Option pricing when underlying stock returns are discontinuous
- Changes of numéraire, changes of probability measure and option pricing
- Occupation times for two state Markov chains
- Fire sales forensics: measuring endogenous risk
- Dirichlet forms and white noise analysis
- Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
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