No-armageddon measure for arbitrage-free pricing of index options in a credit crisis

DOI10.1111/J.1467-9965.2010.00444.XMaRDI QIDQ3100747zbMATH OpenOpenAlexFDO

Authors Massimo Morini, Damiano Brigo

Publication date 21 November 2011

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2010.00444.x

zbMATH Keywords

default correlationarbitragecredit crunchmarket modelscredit index optionssubfiltrations

Mathematics Subject Classification ID

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

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• American option pricing under financial crisis
• A discrete-time approach to arbitrage-free pricing of credit derivatives
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• A GENERAL FRAMEWORK FOR PRICING CREDIT RISK

Cites work

• A general version of the fundamental theorem of asset pricing
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
• On Cox processes and credit risky securities
• The Market Model of Interest Rate Dynamics
• Valuation of credit default swaps and swaptions
• Valuation of credit default swaptions and credit default index swaptions

Cited in

(3)

• Hedging of a credit default swaption in the CIR default intensity model
• Bilateral counterparty risk under funding constraints. II: CVA
• A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS

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