Pricing vulnerable options with stochastic volatility

DOI10.1016/J.PHYSA.2017.04.146zbMATH Open1497.91313OpenAlexW2609032503MaRDI QIDQ2147889FDOQ2147889

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

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zbMATH Keywords

stochastic volatilitycredit riskOTC marketsvulnerable options

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Title not available (Why is that?)
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option pricing when underlying stock returns are discontinuous
• A multifactor volatility Heston model
• Post-'87 crash fears in the S\&P 500 futures option market
• The market for crash risk
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• Pricing vulnerable options under a stochastic volatility model
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• The pricing of vulnerable options with double Mellin transforms
• Valuation of vulnerable American options with correlated credit risk
• A closed form solution for vulnerable options with Heston's stochastic volatility
• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• Option pricing for stochastic volatility model with infinite activity Lévy jumps
• On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
• ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK
• Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing
• Pricing participating policies under the Meixner process and stochastic volatility

Cited In (32)

• An ETD method for multi‐asset American option pricing under jump‐diffusion model
• Estimating option Greeks under the stochastic volatility using simulation
• Vulnerable European call option pricing based on uncertain fractional differential equation
• Pricing vulnerable lookback options using Laplace transforms
• Pricing vulnerable European options under Lévy process with stochastic volatility
• An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
• VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
• Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
• Pricing of vulnerable options under hybrid stochastic and local volatility
• Analytical valuation of vulnerable European and Asian options in intensity-based models
• Pricing VXX option with default risk and positive volatility skew
• Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
• TARGET VOLATILITY OPTION PRICING
• Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
• Pricing vulnerable fader options under stochastic volatility models
• Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity
• Two frameworks for pricing defaultable derivatives
• Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate
• Pricing and hedging vulnerable option with funding costs and collateral
• 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
• Pricing VIX options with stochastic volatility and random jumps
• Title not available (Why is that?)
• Pricing vulnerable power exchange options in an intensity based framework
• Pricing vulnerable options with jump risk and liquidity risk
• Pricing vulnerable options in a mixed fractional Brownian motion with jumps
• Pricing vulnerable options under jump diffusion processes using double Mellin transform
• 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 exchange options under hybrid stochastic volatility and interest rate models
• Pricing under rough volatility
• Pricing path-dependent options under the Hawkes jump diffusion process
• CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS

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