scientific article; zbMATH DE number 7426444

DOI10.7858/eamj.2021.006zbMath1475.91358MaRDI QIDQ5164939

Geonwoo Kim, Jeonggyu Huh, Jaegi Jeon

Publication date: 15 November 2021

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

credit riskreduced-form modelexchange optionvulnerable option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

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Cites Work

• Unnamed Item
• On Cox processes and credit risky securities
• Exchange option pricing under stochastic volatility: a correlation expansion
• A multiscale extension of the Margrabe formula under stochastic volatility
• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• Closed-form pricing formula for exchange option with credit risk
• Exchange Options Under Jump-Diffusion Dynamics
• Changes of numéraire, changes of probability measure and option pricing

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