Closed-form pricing formula for exchange option with credit risk

DOI10.1016/j.chaos.2016.06.005zbMath1375.91224OpenAlexW2416860230MaRDI QIDQ2410409

Eunho Koo, Geonwoo Kim

Publication date: 18 October 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2016.06.005

zbMATH Keywords

Mellin transformcredit riskexchange option

Mathematics Subject Classification ID

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

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Exchange option in a two-state Poisson CAPM
• The pricing of vulnerable options with double Mellin transforms
• A closed form solution for vulnerable options with Heston's stochastic volatility
• Exchange option pricing under stochastic volatility: a correlation expansion
• On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
• Role of noise in a market model with stochastic volatility
• Option pricing with Mellin transforms
• Mellin transform method for European option pricing with Hull-White stochastic interest rate
• Pricing vulnerable options under a stochastic volatility model
• Valuation of vulnerable American options with correlated credit risk
• Probability for transition of business cycle and pricing of options with correlated credit risk
• Exchange Options Under Jump-Diffusion Dynamics
• Changes of numéraire, changes of probability measure and option pricing

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