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

default riskHeston modelmultiscaleoption pricingstochastic volatility

Mathematics Subject Classification ID

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

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Cites work

• 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
• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• 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

(9)

• An empirical study of a mathematical model for influence of government tax on the price behavior and the stability of market price
• Pricing vulnerable options in a mixed fractional Brownian motion with jumps
• An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
• Closed-form pricing formula for foreign equity option with credit risk
• Two frameworks for pricing defaultable derivatives
• PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY
• Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
• Pricing vulnerable extremum options in a Markov regime-switching Heston's model and stochastic interest rate
• Pricing vulnerable options under a Markov modulated jump-diffusion model with stochastic volatility and stochastic jump intensity

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