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

DOI10.1080/14697688.2012.741693zbMATH Open1281.91171OpenAlexW1970250350MaRDI QIDQ5397457FDOQ5397457

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

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zbMATH Keywords

stochastic interest ratescredit riskderivatives pricingderivatives securities

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (3)

• Credit risk contagion based on asymmetric information association
• Pricing vulnerable basket spread options with liquidity risk
• Stochastic pricing formulation for hybrid equity warrants

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