Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options

DOI10.1007/S11147-015-9114-7MaRDI QIDQ315043zbMATH OpenOpenAlexFDO

Authors Lie-Jane Kao

Publication date 19 September 2016

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

Full work available at URL https://doi.org/10.1007/s11147-015-9114-7

zbMATH Keywords

Basel IIIcapcredit value adjustment (CVA)floorreduced-form modelstructural pricing modelvulnerable European options

Mathematics Subject Classification ID

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

Recommendations

• CVA and vulnerable options in stochastic volatility models
• Integrated structural approach to credit value adjustment
• CVA and vulnerable options pricing by correlation expansions
• Bilateral counterparty risk under funding constraints. II: CVA
• CVA with wrong way risk: sensitivities, volatility and hedging

Cites work

• An equilibrium characterization of the term structure
• Double lookbacks
• General framework for pricing derivative securities
• LIBOR and swap market models and measures
• Martingales and arbitrage in multiperiod securities markets
• Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
• The Market Model of Interest Rate Dynamics

Cited in

(7)

• Integrated structural approach to credit value adjustment
• Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
• Approximate value adjustments for European claims
• Computing valuation adjustments for counterparty credit risk using a modified supervisory approach
• A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
• CVA and vulnerable options pricing by correlation expansions
• CVA and vulnerable options in stochastic volatility models

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