Pricing vulnerable power option under a CEV diffusion

DOI10.7858/EAMJ.2021.034zbMATH Open1489.91260MaRDI QIDQ5083071FDOQ5083071

Authors:

Publication date: 21 June 2022

Recommendations

• Pricing of vulnerable options under hybrid stochastic and local volatility
• Pricing vulnerable power exchange options in an intensity based framework
• Asymptotic option pricing under the CEV diffusion
• Vulnerable options pricing under uncertain volatility model
• Analytical pricing of vulnerable options under a generalized jump-diffusion model

zbMATH Keywords

option pricingasymptotic analysiscredit riskconstant elasticity of variancepower optionvulnerable option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The pricing of options and corporate liabilities
• Stochastic differential equations. An introduction with applications.
• Pricing and hedging power options
• Pricing vulnerable options under a stochastic volatility model
• Pricing vulnerable path-dependent options using integral transforms
• The pricing of vulnerable options with double Mellin transforms
• Asymptotic option pricing under the CEV diffusion
• Valuation of power option for uncertain financial market
• Pricing of vulnerable options under hybrid stochastic and local volatility

Cited In (2)

• Pricing vulnerable power exchange options in an intensity based framework
• The pricing of vulnerable power options with double Mellin transforms

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