Closed-form pricing formula for exchange option with credit risk
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Publication:2410409
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Cites work
- A closed form solution for vulnerable options with Heston's stochastic volatility
- Changes of numéraire, changes of probability measure and option pricing
- Exchange option in a two-state Poisson CAPM
- Exchange option pricing under stochastic volatility: a correlation expansion
- Exchange Options Under Jump-Diffusion Dynamics
- Mellin transform method for European option pricing with Hull-White stochastic interest rate
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
- Option pricing with Mellin transforms
- Pricing vulnerable options under a stochastic volatility model
- Probability for transition of business cycle and pricing of options with correlated credit risk
- Role of noise in a market model with stochastic volatility
- The pricing of options and corporate liabilities
- The pricing of vulnerable options with double Mellin transforms
- Valuation of vulnerable American options with correlated credit risk
Cited in
(24)- Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
- Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
- Closed-form pricing formula for foreign equity option with credit risk
- An integral equation approach for optimal investment policies with partial reversibility
- A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
- Two frameworks for pricing defaultable derivatives
- The credit risk and pricing of OTC options
- Pricing exchange options with credit risk under a reduced form model
- A probabilistic approach for valuing exchange option with default risk
- The martingale approach for credit-risky exchange option pricing
- Numerical pricing of exchange option with stock liquidity under Bayesian statistical method
- Pricing of vulnerable power exchange option under the hybrid model
- The pricing of vulnerable power options with double Mellin transforms
- A closed-form GARCH valuation model for power exchange options with counterparty risk
- Exchange options under clustered jump dynamics
- Simplified approach to valuation of vulnerable exchange option under a reduced-form model
- On fair designs of c<scp>ross‐chain</scp> exchange for cryptocurrencies via Monte Carlo simulation
- Variational inequality arising from variable annuity with mean reversion environment
- The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model
- Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
- Pricing of the vulnerable exchange option under the mixed fractional Brownian motion environment
- Pricing of vulnerable option under affine stochastic volatility with simultaneous jumps model
- Pricing of vulnerable digital exchange options under stochastic interest rate model
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