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

DOI10.1080/14697680500362718zbMath1134.91444OpenAlexW2071720645MaRDI QIDQ3375386

Hsing-Hua Huang, Szu-Lang Liao

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)

Related Items (17)

An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model ⋮ Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options ⋮ 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 ⋮ 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 fader options under stochastic volatility models ⋮ Pricing vulnerable European options under Lévy process with stochastic volatility ⋮ PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION ⋮ A comprehensive structural model for defaultable fixed-income bonds ⋮ 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

Cites Work

• The Pricing of Options and Corporate Liabilities
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure

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