Pricing vulnerable options under a stochastic volatility model

DOI10.1016/J.AML.2014.03.007MaRDI QIDQ2349261zbMATH OpenOpenAlexFDO

Authors Sung-Jin Yang, Min-Ku Lee, Jeong-Hoon Kim

Publication date 22 June 2015

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2014.03.007

zbMATH Keywords

multiscalestochastic volatilityvulnerable option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 1223766 (Why is no real title available?)
• scientific article; zbMATH DE number 1391030 (Why is no real title available?)
• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Multiname and multiscale default modeling
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Stochastic Volatility Effects on Defaultable Bonds
• The pricing of options and corporate liabilities

Cited in

(44)

• Valuing vulnerable geometric Asian options
• Pricing vulnerable options with stochastic volatility
• Pricing of defaultable options with multiscale generalized Heston's stochastic volatility
• Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
• Pricing collar options with stochastic volatility
• Pricing vulnerable lookback options using Laplace transforms
• An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
• Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
• VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
• Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
• The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model
• Analytical valuation of vulnerable options in a discrete-time framework
• Pricing vulnerable European options with stochastic correlation
• Pricing of vulnerable options under hybrid stochastic and local volatility
• Analytical valuation of vulnerable European and Asian options in intensity-based models
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
• Pricing of fixed-strike lookback options on assets with default risk
• Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
• Pricing vulnerable fader options under stochastic volatility models
• Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis
• Pricing and hedging vulnerable option with funding costs and collateral
• Valuing fade-in options with default risk in Heston-Nandi GARCH models
• Closed-form pricing formula for foreign equity option with credit risk
• Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
• Pricing vulnerable path-dependent options using integral transforms
• The pricing of vulnerable options with double Mellin transforms
• Pricing vulnerable options with jump risk and liquidity risk
• Pricing vulnerable American put options under jump-diffusion processes
• Valuing of timer path-dependent options
• Pricing vulnerable options under jump diffusion processes using double Mellin transform
• The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options
• Pricing of timer volatility-barrier options under Heston's stochastic volatility model
• Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
• Pricing vulnerable power option under a CEV diffusion
• The pricing of vulnerable power options with double Mellin transforms
• A multiscale extension of the Margrabe formula under stochastic volatility
• Closed-form pricing formula for exchange option with credit risk
• Vulnerable options pricing under uncertain volatility model
• A closed form solution for vulnerable options with Heston's stochastic volatility
• Pricing path-dependent options under the Hawkes jump diffusion process
• The pricing of dynamic fund protection with default risk
• Pricing vulnerable options with variable default boundary under jump-diffusion processes
• Pricing spread options with stochastic interest rates

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