Pricing options with credit risk in a reduced form model

DOI10.1016/J.JKSS.2012.01.006zbMATH Open1296.91269OpenAlexW2029675411MaRDI QIDQ457616FDOQ457616

Wensheng Wang, Xiaonan Su

Publication date: 29 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2012.01.006

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zbMATH Keywords

option pricingjump diffusionstochastic interest rateintensity of default

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Credit risk valuation. Methods, models, and applications.
• Valuation of vulnerable American options with correlated credit risk
• The credit risk and pricing of OTC options
• MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
• A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap

Cited In (20)

• Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market
• The pricing of vulnerable options in a fractional Brownian motion environment
• Pricing warrant bonds with credit risk under a jump diffusion process
• Valuation of the vulnerable option price based on mixed fractional Brownian motion
• Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
• The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process
• Reduced-Form Modeling of Counterparty Risk on Credit Derivatives
• Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
• Option pricing: the reduced-form SDE model
• Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises
• Closed-form pricing formula for foreign equity option with credit risk
• Title not available (Why is that?)
• Pricing vulnerable power exchange options in an intensity based framework
• The European vulnerable option pricing with jumps based on a mixed model
• Pricing catastrophe options with counterparty credit risk in a reduced form model
• Pricing options with credit risk in Markovian regime-switching markets
• Closed-form pricing formula for exchange option with credit risk
• Efficient option risk measurement with reduced model risk
• Vasicek model with mixed-exponential jumps and its applications in finance and insurance
• Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model

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