Pricing vulnerable options with stochastic volatility
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Publication:2147889
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- scientific article; zbMATH DE number 2221215
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Cites work
- scientific article; zbMATH DE number 3249395 (Why is no real title available?)
- 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 multifactor volatility Heston model
- Analytical pricing of vulnerable options under a generalized jump-diffusion model
- Analytical valuation of vulnerable options in a discrete-time framework
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
- Option pricing for stochastic volatility model with infinite activity Lévy jumps
- Option pricing when underlying stock returns are discontinuous
- Post-'87 crash fears in the S\&P 500 futures option market
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- Pricing participating policies under the Meixner process and stochastic volatility
- Pricing vulnerable options under a stochastic volatility model
- Rare shock, two-factor stochastic volatility and currency option pricing
- The market for crash risk
- The pricing of options and corporate liabilities
- The pricing of vulnerable options with double Mellin transforms
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Valuation of vulnerable American options with correlated credit risk
Cited in
(41)- Vulnerable options pricing under uncertain volatility model
- Pricing path-dependent options under the Hawkes jump diffusion process
- Pricing vulnerable options in a mixed fractional Brownian motion with jumps
- The martingale approach for vulnerable binary option pricing under stochastic interest rate
- Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity
- Pricing exchange options under hybrid stochastic volatility and interest rate models
- VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
- CVA and vulnerable options in stochastic volatility models
- Pricing VIX options with stochastic volatility and random jumps
- Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
- Pricing under rough volatility
- Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model
- Pricing vulnerable options under a stochastic volatility model
- Pricing vulnerable lookback options using Laplace transforms
- Pricing vulnerable European options under Lévy process with stochastic volatility
- scientific article; zbMATH DE number 2221215 (Why is no real title available?)
- Pricing of vulnerable options under hybrid stochastic and local volatility
- TARGET VOLATILITY OPTION PRICING
- Analytical valuation of vulnerable European and Asian options in intensity-based models
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- Vulnerable European call option pricing based on uncertain fractional differential equation
- Two frameworks for pricing defaultable derivatives
- Pricing vulnerable European options with stochastic correlation
- Pricing vulnerable options under jump diffusion processes using double Mellin transform
- Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
- A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
- Pricing vulnerable power exchange options in an intensity based framework
- Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
- Pricing VXX option with default risk and positive volatility skew
- Pricing vulnerable fader options under stochastic volatility models
- The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options
- Pricing vulnerable basket spread options with liquidity risk
- A closed form solution for vulnerable options with Heston's stochastic volatility
- Pricing and hedging vulnerable option with funding costs and collateral
- A binomial tree approach to pricing vulnerable option in a vague world
- Pricing vulnerable options with jump risk and liquidity risk
- Power option pricing under the unstable conditions (evidence of power option pricing under fractional Heston model in the Iran gold market)
- Closed-form pricing formula for foreign equity option with credit risk
- Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
- Estimating option Greeks under the stochastic volatility using simulation
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