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

DOI10.1186/s13662-021-03486-7zbMath1494.91158OpenAlexW3179635035MaRDI QIDQ2167080

Yanyan Li

Publication date: 25 August 2022

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

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

zbMATH Keywords

Mellin transformscredit riskstructural modelforeign equity option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

Related Items (1)

Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment

Cites Work

• The Pricing of Options and Corporate Liabilities
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• Valuation of vulnerable American options with correlated credit risk
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• CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
• QUANTO LOOKBACK OPTIONS
• A Mellin transform approach to barrier option pricing

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