Analytical pricing of vulnerable options under a generalized jump-diffusion model
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Publication:2260941
DOI10.1016/J.INSMATHECO.2014.10.007zbMATH Open1308.91161OpenAlexW2149661789MaRDI QIDQ2260941FDOQ2260941
Authors: Farzad Alavi Fard 
Publication date: 13 March 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.10.007
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Cited In (30)
- Pricing vulnerable options under a Markov-modulated regime switching model
- Pricing vulnerable claims in a Lévy-driven model
- Pricing vulnerable options with market prices of common jump risks under regime-switching models
- Pricing vulnerable options with stochastic volatility
- Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
- Approximate value adjustments for European claims
- Exchange option pricing in jump-diffusion models based on Esscher transform
- Pricing vulnerable lookback options using Laplace transforms
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
- Analytical valuation of vulnerable options in a discrete-time framework
- Quanto option pricing with a jump diffusion process
- Analytical valuation of vulnerable European and Asian options in intensity-based models
- Simplified approach to valuation of vulnerable exchange option under a reduced-form model
- Valuation and risk assessment of participating life insurance in the presence of credit risk
- CVA and vulnerable options in stochastic volatility models
- Multiple jump-diffusion models and vulnerable European option pricing
- Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
- Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
- CVA and vulnerable options pricing by correlation expansions
- Pricing of vulnerable power exchange option under the hybrid model
- A closed-form GARCH valuation model for power exchange options with counterparty risk
- Pricing and hedging vulnerable option with funding costs and collateral
- Valuing fade-in options with default risk in Heston-Nandi GARCH models
- Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
- Vulnerable European option pricing models when underlying asset returns are jump-diffusion processes
- The European vulnerable option pricing with jumps based on a mixed model
- Pricing vulnerable option under jump-diffusion model with incomplete information
- Pricing vulnerable power option under a CEV diffusion
- CVA in fractional and rough volatility models
- The pricing of dynamic fund protection with default risk
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