Pricing vulnerable European options with stochastic correlation
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Publication:4628409
DOI10.1017/S0269964816000425zbMATH Open1419.91630MaRDI QIDQ4628409FDOQ4628409
Authors: Xingchun Wang 
Publication date: 13 March 2019
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
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- scientific article; zbMATH DE number 6129996
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- ARCH models as diffusion approximations
- Title not available (Why is that?)
- Title not available (Why is that?)
- THE GARCH OPTION PRICING MODEL
- Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- Bilateral counterparty risk under funding constraints. I: Pricing
- Bilateral counterparty risk under funding constraints. II: CVA
- Pricing vulnerable options under a stochastic volatility model
- Analytical valuation of vulnerable options in a discrete-time framework
Cited In (22)
- A first passage time approach to vulnerable European options pricing
- Vulnerable European call option pricing based on uncertain fractional differential equation
- Pricing collateralised options in the presence of counterparty credit risk: an extension of the Heston-Nandi model
- Pricing vulnerable European options under Lévy process with stochastic volatility
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
- VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
- HOLDER-EXTENDIBLE EUROPEAN OPTION: CORRECTIONS AND EXTENSIONS
- Analytical valuation of vulnerable options in a discrete-time framework
- Analytical valuation of vulnerable European and Asian options in intensity-based models
- WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK
- Pricing European options under stochastic looping contagion risk model
- Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
- Pricing vulnerable fader options under stochastic volatility models
- A closed-form GARCH valuation model for power exchange options with counterparty risk
- Valuing fade-in options with default risk in Heston-Nandi GARCH models
- Pricing vulnerable options with jump risk and liquidity risk
- Pricing vulnerable European options with stochastic default barriers
- Pricing of covered warrants on correlation between stock returns and volatility
- Vulnerable options pricing under uncertain volatility model
- A closed form solution for vulnerable options with Heston's stochastic volatility
- Valuation of vulnerable American options with correlated credit risk
- Pricing Derivatives Incorporating Structural Market Changes and in Time Correlation
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