Effect of institutional deleveraging on option valuation problems

DOI10.3934/JIMO.2020060MaRDI QIDQ1983756zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option valuationrisk-neutral pricingendogenous riskfire salesdeleverage

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70)

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• scientific article; zbMATH DE number 5048394

Cites work

• Changes of numéraire, changes of probability measure and option pricing
• Dirichlet forms and white noise analysis
• Financial Modelling with Jump Processes
• Fire sales forensics: measuring endogenous risk
• Occupation times for two state Markov chains
• Occupation times in markov processes
• Option pricing when underlying stock returns are discontinuous
• Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
• Stochastic calculus for finance. II: Continuous-time models.
• The pricing of options and corporate liabilities

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