Option pricing for path-dependent options with assets exposed to multiple defaults risk

DOI10.1155/2020/2418620MaRDI QIDQ2183237zbMATH OpenOpenAlexFDO

Authors Taoshun He

Publication date 26 May 2020

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/2418620

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

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Cites work

• scientific article; zbMATH DE number 1869208 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• 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
• Optimal investment under multiple defaults risk: a BSDE-decomposition approach
• Optimal investment with counterparty risk: a default-density model approach
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Pricing formula for exotic options with assets exposed to counterparty risk
• Stochastic calculus for finance. II: Continuous-time models.
• Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
• What happens after a default: the conditional density approach

Cited in

(5)

• Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
• Explicit pricing formulas for European option with asset exposed to double defaults risk
• Pricing of forward-start options with default risks
• Pricing formula for exotic options with assets exposed to counterparty risk
• Pricing of fixed-strike lookback options on assets with default risk

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