PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

DOI10.1111/J.1467-9965.2006.00271.XMaRDI QIDQ5488975zbMATH OpenOpenAlexFDO

Authors Vadim Linetsky

Publication date 25 September 2006

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2006.00271.x

zbMATH Keywords

credit riskhazard ratebankruptcyAsian optionscredit spreadspectral expansionsstock optionsimplied volatility skewBrownian exponential functionalsSchrödinger operator with Morse potential

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of hypergeometric functions (33C90)

Recommendations

• Extended Black and Scholes model under bankruptcy risk
• scientific article; zbMATH DE number 1971720
• Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk
• Pricing Options on Defaultable Stocks*
• Pricing European style credit spread options

Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3141417 (Why is no real title available?)
• scientific article; zbMATH DE number 3161336 (Why is no real title available?)
• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 3979513 (Why is no real title available?)
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1006369 (Why is no real title available?)
• scientific article; zbMATH DE number 1163914 (Why is no real title available?)
• scientific article; zbMATH DE number 3447884 (Why is no real title available?)
• A jump to default extended CEV model: an application of Bessel processes
• Applications of eigenfunction expansions in continuous-time finance
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• Brownian motion on the hyperbolic plane and Selberg trace formula
• Credit Risk Modeling
• Credit risk: Modelling, valuation and hedging
• Diffusion in a one-dimensional random medium and hyperbolic Brownian motion
• Exponential functionals of Brownian motion and disordered systems
• Exponential functionals of Brownian motion and related processes
• Lookback options and diffusion hitting times: a spectral expansion approach
• On the Landau levels on the hyperbolic plane
• On the fundamental solution of the Kolmogorov-Shiryaev equation
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Spectral Expansions for Asian (Average Price) Options
• THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• The Confluent Hypergeometric Function
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• The path integral on the Poincaré upper half-plane with a magnetic field and for the Morse potential
• The spectral representation of Bessel processes with constant drift: applications in queueing and finance
• Weak convergence of random growth processes with applications to insurance

Cited in

(50)

• Valuing convertible bonds based on LSRQM method
• Stochastic modeling and fair valuation of drawdown insurance
• MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
• Pricing vulnerable claims in a Lévy-driven model
• PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
• Statistical Inference for Student Diffusion Process
• Systematic equity-based credit risk: A CEV model with jump to default
• On model robustness of the regime switching approach for pegged foreign exchange markets
• Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
• Efficient computation of various valuation adjustments under local Lévy models
• Measuring impact of random jumps without sample path generation
• Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• Noncausal affine processes with applications to derivative pricing
• Extended Black and Scholes model under bankruptcy risk
• A Lévy-driven asset price model with bankruptcy and liquidity risk
• Pricing Bermudan options under local Lévy models with default
• Polyanalytic reproducing Kernels on the quantized annulus
• Bankruptcy probability of a lever company: lookback option pricing method
• Pricing Options on Defaultable Stocks*
• Dynamic credit investment in partially observed markets
• Multivariate subordination of Markov processes with financial applications
• Pricing equations in jump-to-default models
• A jump to default extended CEV model: an application of Bessel processes
• Pricing derivatives with counterparty risk and collateralization: a fixed point approach
• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
• A family of density expansions for Lévy-type processes
• An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
• Utility valuation of multi-name credit derivatives and application to CDOs
• Statistical inference for reciprocal gamma diffusion process
• Pricing path-dependent equity and credit derivatives within a general hybrid equity-credit framework: a unified CTMC approximation approach
• Spectral representation of transition density of Fisher–Snedecor diffusion
• An integral transform connecting spaces of hyperbolic Landau states with a class of weighted Bergman spaces
• Time-changed Markov processes in unified credit-equity modeling
• Pricing European vanilla options under a jump-to-default threshold diffusion model
• Quantile hedging in a defaultable market with life insurance applications
• The early exercise boundary under the jump to default extended CEV model
• Discounted optimal stopping problems in first-passage time models with random thresholds
• A unified framework for pricing credit and equity derivatives
• Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
• Dynamics of bankrupt stocks
• Optimal stopping problem in a model with compensated refusal of reward
• Optimal investment in equity and credit default swaps in the presence of default
• Option pricing in a one-dimensional affine term structure model via spectral representations
• Time-changed CIR default intensities with two-sided mean-reverting jumps
• Transform analysis for point processes and applications in credit risk
• Calculating the American options in the default model
• On equi-derivatives
• STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS
• Pricing approximations and error estimates for local Lévy-type models with default

This page was built for publication: PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5488975)