scientific article; zbMATH DE number 5048394

MaRDI QIDQ5483689zbMATH OpenFDO

Authors Liping Song, Shiyin Li

Publication date 23 August 2006

zbMATH Keywords

correlationdefault intensitymean-reverting processvulnerable European call option

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(18)

• Effect of institutional deleveraging on option valuation problems
• Analytical valuation of vulnerable European and Asian options in intensity-based models
• Valuing fade-in options with default risk in Heston-Nandi GARCH models
• Pricing of fixed-strike lookback options on assets with default risk
• Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
• The valuation of options when the market price of default risk involved
• The valuation and behavior of Black-Scholes options subject to intertemporal default risk
• Default risk quantification and buy-back option pricing of China CMBS business
• The model and valuation of exchange option with credit risk
• INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
• A binomial tree approach to pricing vulnerable option in a vague world
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• Analytical valuation of vulnerable options in a discrete-time framework
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• Erweiterung des Richttafelmodells RT98 zur Bewertung von Pensionsverpflichtungen nach IAS/FAS
• Pricing vulnerable European options with stochastic default barriers
• The pricing of dynamic fund protection with default risk
• Valuing risky debt: a new model combining structural information with the reduced-form approach

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