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

DOI10.1007/BF01536394zbMATH Open1274.91440OpenAlexW3125222357MaRDI QIDQ375238FDOQ375238

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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Title not available (Why is that?)
• An Intertemporal General Equilibrium Model of Asset Prices
• Pricing the risks of default

Cited In (6)

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

   Recommendations

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• Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension 👍 👎
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• The valuation of options when the market price of default risk involved 👍 👎
• Pricing vulnerable European options with stochastic default barriers 👍 👎

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