Option pricing for path-dependent options with assets exposed to multiple defaults risk
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Publication:2183237
DOI10.1155/2020/2418620zbMATH Open1459.91193OpenAlexW3006499777MaRDI QIDQ2183237FDOQ2183237
Publication date: 26 May 2020
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2020/2418620
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Cites Work
- Title not available (Why is that?)
- Stochastic calculus for finance. II: Continuous-time models.
- Title not available (Why is that?)
- Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Optimal investment with counterparty risk: a default-density model approach
- Optimal investment under multiple defaults risk: a BSDE-decomposition approach
- What happens after a default: the conditional density approach
- Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
- Explicit pricing formulas for European option with asset exposed to double defaults risk
- Pricing formula for exotic options with assets exposed to counterparty risk
Cited In (2)
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