Pricing vulnerable power option under a CEV diffusion

DOI10.7858/EAMJ.2021.034MaRDI QIDQ5083071zbMATH OpenFDO

Authors

Publication date 21 June 2022

zbMATH Keywords

option pricingasymptotic analysiscredit riskconstant elasticity of variancepower optionvulnerable option

Mathematics Subject Classification ID

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

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

Cites work

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

Cited in

(2)

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

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