Pricing options with credit risk in a reduced form model

DOI10.1016/j.jkss.2012.01.006zbMath1296.91269OpenAlexW2029675411MaRDI QIDQ457616

Xiaonan Su, Wen Sheng Wang

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

zbMATH Keywords

option pricingstochastic interest ratejump diffusionintensity of default

Mathematics Subject Classification ID

Related Items (12)

Pricing catastrophe options with counterparty credit risk in a reduced form model ⋮ Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process ⋮ The European vulnerable option pricing with jumps based on a mixed model ⋮ Pricing options with credit risk in Markovian regime-switching markets ⋮ Pricing vulnerable power exchange options in an intensity based framework ⋮ Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises ⋮ Vasicek model with mixed-exponential jumps and its applications in finance and insurance ⋮ The pricing of vulnerable options in a fractional Brownian motion environment ⋮ Valuation of the vulnerable option price based on mixed fractional Brownian motion ⋮ Pricing warrant bonds with credit risk under a jump diffusion process ⋮ Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market ⋮ The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
• A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
• 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
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Credit risk valuation. Methods, models, and applications.

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