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

DOI10.1080/14697688.2012.741693zbMath1281.91171OpenAlexW1970250350MaRDI QIDQ5397457

Pai-Lung Chou, Yung-Ming Shiu, 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 pricingstochastic interest ratesderivatives securities

Mathematics Subject Classification ID

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

Related Items (2)

Pricing vulnerable basket spread options with liquidity risk ⋮ Credit risk contagion based on asymmetric information association

Cites Work

• The Pricing of Options and Corporate Liabilities
• 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
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

This page was built for publication: A closed-form approximation for valuing European basket warrants under credit risk and interest rate risk