Pricing of defaultable options with multiscale generalized Heston's stochastic volatility
DOI10.1016/J.MATCOM.2017.08.005zbMATH Open1483.91234OpenAlexW2752712227MaRDI QIDQ1996984FDOQ1996984
Authors: Min-Ku Lee, Jeong-Hoon Kim 
Publication date: 1 March 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2017.08.005
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial networks (including contagion, systemic risk, regulation) (91G45)
Cites Work
- The pricing of options and corporate liabilities
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- Title not available (Why is that?)
- A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
- Pricing vulnerable options under a stochastic volatility model
- A closed form solution for vulnerable options with Heston's stochastic volatility
- A fast mean-reverting correction to Heston's stochastic volatility model
Cited In (7)
- An empirical study of a mathematical model for influence of government tax on the price behavior and the stability of market price
- PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
- Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
- Two frameworks for pricing defaultable derivatives
- Closed-form pricing formula for foreign equity option with credit risk
- Pricing vulnerable options in a mixed fractional Brownian motion with jumps
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