Closed-form pricing formula for foreign equity option with credit risk

DOI10.1186/S13662-021-03486-7MaRDI QIDQ2167080zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 25 August 2022

Published in Advances in Difference Equations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13662-021-03486-7

zbMATH Keywords

credit riskforeign equity optionMellin transformsstructural model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50) 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 Mellin transform approach to barrier option pricing
• Closed-form pricing formula for exchange option with credit risk
• CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
• Pricing and hedging foreign equity options under Hawkes jump-diffusion processes
• Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
• Pricing foreign equity option with stochastic volatility
• Pricing of defaultable options with multiscale generalized Heston's stochastic volatility
• Pricing of fixed-strike lookback options on assets with default risk
• Pricing vulnerable options under a stochastic volatility model
• Pricing vulnerable options with stochastic volatility
• Pricing vulnerable options with variable default boundary under jump-diffusion processes
• Pricing vulnerable path-dependent options using integral transforms
• QUANTO LOOKBACK OPTIONS
• The pricing of dynamic fund protection with default risk
• The pricing of options and corporate liabilities
• The pricing of vulnerable options with double Mellin transforms
• Valuation of vulnerable American options with correlated credit risk
• Valuing vulnerable geometric Asian options

Cited in

(3)

• Closed-form pricing formula for exchange option with credit risk
• Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
• Pricing foreign equity options under a regime-switching model with liquidity risk and default risk

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