The credit risk and pricing of OTC options

DOI10.1007/S10690-007-9053-XMaRDI QIDQ2471735zbMATHOpenAlexFDO

Authors Gechun Liang, Xuemin Ren

Publication date 18 February 2008

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-007-9053-x

zbMATH Keywords

Green's functioncredit riskvaluationdefault probabilityOTC options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• The valuation and behavior of Black-Scholes options subject to intertemporal default risk

Cited in

(11)

• Pricing path-dependent options under the Hawkes jump diffusion process
• Pricing vulnerable options under a Markov-modulated regime switching model
• Pricing options with credit risk in a reduced form model
• scientific article; zbMATH DE number 7088119 (Why is no real title available?)
• Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
• Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
• Analytical valuation of vulnerable European and Asian options in intensity-based models
• Pricing vulnerable power exchange options in an intensity based framework
• A multidimensional exponential utility indifference pricing model with applications to counterparty risk
• Pricing vulnerable options with jump risk and liquidity risk
• Valuing fade-in options with default risk in Heston-Nandi GARCH models

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