Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension

DOI10.1080/14697680500362718MaRDI QIDQ3375386zbMATH OpenOpenAlexFDO

Authors Szu-Lang Liao, Hsing-Hua Huang

Publication date 8 March 2006

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680500362718

Mathematics Subject Classification ID

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

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Cites work

• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The pricing of options and corporate liabilities

Cited in

(24)

• Pricing vulnerable European options under Lévy process with stochastic volatility
• 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
• Pricing vulnerable options with jump risk and liquidity risk
• Pricing vulnerable options in a mixed fractional Brownian motion with jumps
• An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
• Closed form valuation of barrier options with stochastic barriers
• Optimal feedback control of stock prices under credit risk dynamics
• Valuing fade-in options with default risk in Heston-Nandi GARCH models
• Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
• Closed-form pricing formula for foreign equity option with credit risk
• The credit risk and pricing of OTC options
• Pricing vulnerable fader options under stochastic volatility models
• A comprehensive structural model for defaultable fixed-income bonds
• Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options
• The valuation of options when the market price of default risk involved
• The valuation and behavior of Black-Scholes options subject to intertemporal default risk
• Pricing vulnerable European options with stochastic correlation
• A closed-form approximation for valuing European basket warrants under credit risk and interest rate risk
• Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
• Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
• Pricing vulnerable extremum options in a Markov regime-switching Heston's model and stochastic interest rate
• Pricing foreign equity options under a regime-switching model with liquidity risk and default risk
• Valuing vulnerable Asian options with liquidity risk under Lévy processes

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