The model and valuation of exchange option with credit risk

zbMATH Open1265.91066MaRDI QIDQ4901737FDOQ4901737

Authors: Shuzhen Tu, Shiyin Li 

Publication date: 24 January 2013

Recommendations

• The model and the valuation of compound options with credit risk
• Pricing exchange options with credit risk under a reduced form model
• Simplified approach to valuation of vulnerable exchange option under a reduced-form model
• scientific article; zbMATH DE number 5048394
• Pricing vulnerable power exchange options in an intensity based framework

zbMATH Keywords

credit riskequivalent martingale measuredoubly stochastic Poisson processdefault intensity

Mathematics Subject Classification ID

Cited In (9)

• Simplified approach to valuation of vulnerable exchange option under a reduced-form model
• Pricing of vulnerable power exchange option under the hybrid model
• A closed-form GARCH valuation model for power exchange options with counterparty risk
• The martingale approach for credit-risky exchange option pricing
• A closed-form extension to the Black-Cox model
• A probabilistic approach for valuing exchange option with default risk
• The model and the valuation of compound options with credit risk
• Pricing exchange options with credit risk under a reduced form model
• Closed-form pricing formula for exchange option with credit risk

This page was built for publication: The model and valuation of exchange option with credit risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4901737)