Pricing of defaultable options with multiscale generalized Heston's stochastic volatility

DOI10.1016/J.MATCOM.2017.08.005MaRDI QIDQ1996984zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricingmultiscalestochastic volatilitydefault riskHeston model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• A closed form solution for vulnerable options with Heston's stochastic volatility
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A fast mean-reverting correction to Heston's stochastic volatility model
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Pricing vulnerable options under a stochastic volatility model
• The pricing of options and corporate liabilities

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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