Pricing vulnerable options with stochastic volatility

DOI10.1016/J.PHYSA.2017.04.146MaRDI QIDQ2147889zbMATH OpenOpenAlexFDO

Authors Guanying Wang, Xingchun Wang, Ke Zhou

Publication date 20 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2017.04.146

zbMATH Keywords

credit riskOTC marketsstochastic volatilityvulnerable options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60)

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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 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
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• 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

(48)

• Pricing and hedging vulnerable option with funding costs and collateral
• Pricing vulnerable European options under Lévy process with stochastic volatility
• Pricing VXX option with default risk and positive volatility skew
• Analytical valuation of vulnerable European and Asian options in intensity-based models
• Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
• Pricing vulnerable options with jump risk and liquidity risk
• Pricing vulnerable options in a mixed fractional Brownian motion with jumps
• The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options
• Vulnerable options pricing under uncertain volatility model
• Pricing path-dependent options under the Hawkes jump diffusion process
• An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
• Pricing of vulnerable options under hybrid stochastic and local volatility
• Estimating option Greeks under the stochastic volatility using simulation
• Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity
• 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
• A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
• Two frameworks for pricing defaultable derivatives
• Pricing vulnerable options under a stochastic volatility model
• Pricing vulnerable power exchange options in an intensity based framework
• Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
• Pricing vulnerable fader options under stochastic volatility models
• Vulnerable European call option pricing based on uncertain fractional differential equation
• Pricing VIX options with stochastic volatility and random jumps
• Pricing vulnerable European options with stochastic correlation
• A binomial tree approach to pricing vulnerable option in a vague world
• CVA and vulnerable options in stochastic volatility models
• Pricing under rough volatility
• VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
• A closed form solution for vulnerable options with Heston's stochastic volatility
• The martingale approach for vulnerable binary option pricing under stochastic interest rate
• TARGET VOLATILITY OPTION PRICING
• scientific article; zbMATH DE number 2221215 (Why is no real title available?)
• Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
• Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate
• An ETD method for multi‐asset American option pricing under jump‐diffusion model
• Pricing vulnerable basket spread options with liquidity risk
• Pricing vulnerable options under jump diffusion processes using double Mellin transform
• Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model
• Pricing vulnerable lookback options using Laplace transforms
• Pricing exchange options under hybrid stochastic volatility and interest rate models
• Pricing vulnerable extremum options in a Markov regime-switching Heston's model and stochastic interest rate
• Valuation of vulnerable options using a bivariate Gram-Charlier approximation
• Valuation of vulnerable European options with market liquidity risk
• Valuing vulnerable Asian options with liquidity risk under Lévy processes
• A closed-form solution for pricing European-style options under the Heston model with credit and liquidity risks
• Valuation of options subject to default risk under a mixed fractional and multiscale stochastic volatility model
• Pricing vulnerable options under a Markov modulated jump-diffusion model with stochastic volatility and stochastic jump intensity

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