scientific article; zbMATH DE number 5284193

zbMATH Open1150.91396MaRDI QIDQ3501474FDOQ3501474

Xiaoping Min, Hengyu Wu, Jianglin Lü

Publication date: 3 June 2008

Title of this publication is not available (Why is that?)

Recommendations

• Valuation of European Options Under an Uncertain Market Price of Volatility Risk
• Valuation of European option under uncertain volatility model
• The valuation of options when the market price of default risk involved
• The valuation of European options in uncertain environment
• Valuation of European options with stochastic interest rates and transaction costs
• Valuation of European continuous-installment options
• European option pricing formula in risk-aversive markets
• Pricing European options under stochastic volatilities models
• On valuing and hedging European options when volatility is estimated directly

zbMATH Keywords

default riskEuropean optionstochastic liabilities

Mathematics Subject Classification ID

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

Cited In (9)

• The price formulas of default European option under logarithmic utility
• The valuation of options when the market price of default risk involved
• Valuation of structured risk management products
• The martingale approach for credit-risky option pricing
• Pricing vulnerable European options with stochastic default barriers
• The martingale approach for vulnerable binary option pricing under stochastic interest rate
• Valuation of European option under uncertain volatility model
• Calculating the American options in the default model
• The credit risk and pricing of OTC options

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