scientific article; zbMATH DE number 5284193
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Publication:3501474
zbMATH Open1150.91396MaRDI QIDQ3501474FDOQ3501474
Authors: Hengyu Wu, Jianglin Lü, Xiaoping Min 
Publication date: 3 June 2008
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Cited In (13)
- The price formulas of default European option under logarithmic utility
- The valuation of options when the market price of default risk involved
- A note on a model of Merton type for valuing default risk
- Valuation of structured risk management products
- A probabilistic approach for valuing exchange option with default risk
- The martingale approach for credit-risky option pricing
- Default risk quantification and buy-back option pricing of China CMBS business
- Pricing vulnerable European options with stochastic default barriers
- The martingale approach for vulnerable binary option pricing under stochastic interest rate
- The valuation and behavior of Black-Scholes options subject to intertemporal default risk
- 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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