The credit risk and pricing of OTC options
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Publication:2471735
DOI10.1007/S10690-007-9053-XzbMATH Open1151.91525OpenAlexW2066088953MaRDI QIDQ2471735FDOQ2471735
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
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Cites Work
Cited In (11)
- Pricing vulnerable options under a Markov-modulated regime switching model
- Pricing options with credit risk in a reduced form model
- 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 options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
- Valuing fade-in options with default risk in Heston-Nandi GARCH models
- Pricing vulnerable power exchange options in an intensity based framework
- Pricing vulnerable options with jump risk and liquidity risk
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk
- Title not available (Why is that?)
- Pricing path-dependent options under the Hawkes jump diffusion process
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