Valuing fade-in options with default risk in Heston-Nandi GARCH models

DOI10.1007/S11147-021-09179-3MaRDI QIDQ2165384zbMATH OpenOpenAlexFDO

Authors Xingchun Wang

Publication date 19 August 2022

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-021-09179-3

zbMATH Keywords

default riskfade-in optionsGARCH processesreduced form models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• Analytical valuation of vulnerable European and Asian options in intensity-based models
• Analytical valuation of vulnerable options in a discrete-time framework
• Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
• Bilateral counterparty risk under funding constraints. I: Pricing
• Bilateral counterparty risk under funding constraints. II: CVA
• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• CVA and vulnerable options in stochastic volatility models
• CVA and vulnerable options pricing by correlation expansions
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3549968 (Why is no real title available?)
• On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
• Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
• Pricing vulnerable European options with stochastic correlation
• Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
• Pricing vulnerable options under a stochastic volatility model
• Pricing vulnerable power exchange options in an intensity based framework
• The credit risk and pricing of OTC options

Cited in

(3)

• Pricing vulnerable fader options under stochastic volatility models
• Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
• The bilateral Gamma motion: calibration and option pricing

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