Pricing of vulnerable options under hybrid stochastic and local volatility

DOI10.1016/j.chaos.2021.110846zbMath1498.91448OpenAlexW3143045873MaRDI QIDQ2137228

Yanyan Li

Publication date: 16 May 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2021.110846

zbMATH Keywords

Monte Carlo simulationasymptotic analysishybrid stochastic and local volatilityvulnerable option

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Valuing of timer path-dependent options ⋮ Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item

Cites Work

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