A closed form solution for vulnerable options with Heston's stochastic volatility
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Publication:508190
DOI10.1016/J.CHAOS.2016.01.026zbMATH Open1386.91143OpenAlexW2295745097MaRDI QIDQ508190FDOQ508190
Authors: Min-Ku Lee, Sung-Jin Yang, Jeong-Hoon Kim 
Publication date: 10 February 2017
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2016.01.026
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Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- Title not available (Why is that?)
- COMPLEX FOURIER--BESSEL TRANSFORMS
- Pricing vulnerable options under a stochastic volatility model
Cited In (29)
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- Pricing of defaultable options with multiscale generalized Heston's stochastic volatility
- Analytic solutions for variance swaps with double-mean-reverting volatility
- Pricing vulnerable lookback options using Laplace transforms
- 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
- Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
- Analytical valuation of vulnerable European and Asian options in intensity-based models
- CVA and vulnerable options in stochastic volatility models
- Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
- Pricing vulnerable fader options under stochastic volatility models
- Closed-form convexity and cross-convexity adjustments for Heston prices
- Two frameworks for pricing defaultable derivatives
- Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate
- Pricing and hedging vulnerable option with funding costs and collateral
- Closed-form pricing formula for foreign equity option with credit risk
- Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
- Pricing vulnerable options with jump risk and liquidity risk
- Pricing vulnerable American put options under jump-diffusion processes
- The pricing of vulnerable options with double Mellin transforms
- Pricing vulnerable options in a mixed fractional Brownian motion with jumps
- Pricing vulnerable options under jump diffusion processes using double Mellin transform
- The European vulnerable option pricing with jumps based on a mixed model
- Pricing of timer volatility-barrier options under Heston's stochastic volatility model
- Closed-form pricing formula for exchange option with credit risk
- Heston-GA hybrid option pricing model based on ResNet50
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