scientific article; zbMATH DE number 5048394

zbMATH Open1098.60509MaRDI QIDQ5483689FDOQ5483689

Authors: Liping Song, Shiyin Li 

Publication date: 23 August 2006

Title of this publication is not available (Why is that?)

Recommendations

• Publication:4936390
• On models of default risk.
• A note on a model of Merton type for valuing default risk
• Valuation of portfolio credit derivatives with default intensities using the Vasicek model
• scientific article; zbMATH DE number 2144815
• A default risk model in a fuzzy framework
• On some models for value-at-risk
• Valuing default risk for assets value jump processes
• A filtering model on default risk

zbMATH Keywords

correlationmean-reverting processdefault intensityvulnerable European call option

Mathematics Subject Classification ID

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

Cited In (18)

• Effect of institutional deleveraging on option valuation problems
• 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
• Analytical valuation of vulnerable options in a discrete-time framework
• Analytical valuation of vulnerable European and Asian options in intensity-based models
• Pricing of fixed-strike lookback options on assets with default risk
• INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
• Erweiterung des Richttafelmodells RT98 zur Bewertung von Pensionsverpflichtungen nach IAS/FAS
• Title not available (Why is that?)
• Valuing fade-in options with default risk in Heston-Nandi GARCH models
• The model and valuation of exchange option with credit risk
• Default risk quantification and buy-back option pricing of China CMBS business
• Pricing vulnerable European options with stochastic default barriers
• The model and the valuation of compound options with credit risk
• The valuation and behavior of Black-Scholes options subject to intertemporal default risk
• Valuing risky debt: a new model combining structural information with the reduced-form approach
• A binomial tree approach to pricing vulnerable option in a vague world
• The pricing of dynamic fund protection with default risk

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5483689)