A closed-form approximation for valuing European basket warrants under credit risk and interest rate risk

DOI10.1080/14697688.2012.741693MaRDI QIDQ5397457zbMATH OpenOpenAlexFDO

Authors Yung-Ming Shiu, Pai-Lung Chou, Jen-Wen Sheu

Publication date 20 February 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2012.741693

zbMATH Keywords

credit riskderivatives pricingderivatives securitiesstochastic interest rates

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
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• Stochastic pricing formulation for hybrid equity warrants
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Cites work

• An equilibrium characterization of the term structure
• An Intertemporal General Equilibrium Model of Asset Prices
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Changes of numéraire, changes of probability measure and option pricing
• Pricing interest-rate-derivative securities
• The pricing of options and corporate liabilities

Cited in

(4)

• Credit risk contagion based on asymmetric information association
• Stochastic pricing formulation for hybrid equity warrants
• Pricing vulnerable basket spread options with liquidity risk
• A general approximate computational framework for basket spread options pricing with and without default risk

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