Pricing vulnerable options with stochastic volatility

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

Guanying Wang, Ke Zhou, Xingchun Wang

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

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
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• Title not available (Why is that?)
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
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• 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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