Valuation of vulnerable American options with correlated credit risk

DOI10.1007/s11147-007-9007-5zbMath1274.91406MaRDI QIDQ2462884

Lung-Fu Chang, Mao-Wei Hung

Publication date: 5 December 2007

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-007-9007-5

zbMATH Keywords

default; American options; derivatives; martingale; credit risk; multi-exercisable

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

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VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY, PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES, Pricing options with credit risk in a reduced form model, Explicit formula for the valuation of catastrophe put option with exponential jump and default risk, The pricing of vulnerable options in a fractional Brownian motion environment, Valuation of the vulnerable option price based on mixed fractional Brownian motion, Pricing vulnerable options with market prices of common jump risks under regime-switching models, Pricing vulnerable options with stochastic volatility, Closed-form pricing formula for foreign equity option with credit risk, Pricing vulnerable options with correlated credit risk under jump-diffusion processes when corporate liabilities are random, Closed-form pricing formula for exchange option with credit risk, Pricing vulnerable power exchange options in an intensity based framework, Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and stochastic integrals in the theory of continuous trading
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• The Numerical Evaluation of Certain Multivariate Normal Integrals
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