The valuation and behavior of Black-Scholes options subject to intertemporal default risk

DOI10.1007/BF01536394MaRDI QIDQ375238zbMATH OpenOpenAlexFDO

Authors Don Rich

Publication date 29 October 2013

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

Full work available at URL https://doi.org/10.1007/bf01536394

zbMATH Keywords

optionsforwardsrisk managementdefault riskhedgingderivativescreditworthinessdefault premiummargin requirements

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• An Intertemporal General Equilibrium Model of Asset Prices
• Pricing the risks of default
• The pricing of options and corporate liabilities

Cited in

(7)

• Vulnerable options pricing under uncertain volatility model
• The European vulnerable option pricing with jumps based on a mixed model
• Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
• The credit risk and pricing of OTC options
• Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
• Vulnerable European call option pricing based on uncertain fractional differential equation
• PDE methods for pricing barrier options

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