PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

DOI10.1111/j.1467-9965.2006.00271.xzbMath1145.91351OpenAlexW2127456791MaRDI QIDQ5488975

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 rateAsian optionsbankruptcycredit spreadSchrödinger operator with Morse potentialspectral expansionsstock optionsimplied volatility skewBrownian exponential functionals

Mathematics Subject Classification ID

Related Items (44)

TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING ⋮ Calculating the American options in the default model ⋮ Measuring Impact of Random Jumps Without Sample Path Generation ⋮ Pricing derivatives with counterparty risk and collateralization: a fixed point approach ⋮ A jump to default extended CEV model: an application of Bessel processes ⋮ An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach ⋮ Pricing Bermudan options under local Lévy models with default ⋮ Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations ⋮ On model robustness of the regime switching approach for pegged foreign exchange markets ⋮ Dynamic credit investment in partially observed markets ⋮ Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach ⋮ Noncausal affine processes with applications to derivative pricing ⋮ A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk ⋮ Pricing Options on Defaultable Stocks* ⋮ Optimal stopping problem in a model with compensated refusal of reward ⋮ Time-changed CIR default intensities with two-sided mean-reverting jumps ⋮ An integral transform connecting spaces of hyperbolic Landau states with a class of weighted Bergman spaces ⋮ MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH ⋮ Efficient Computation of Various Valuation Adjustments Under Local Lévy Models ⋮ STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS ⋮ A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES ⋮ Spectral representation of transition density of Fisher–Snedecor diffusion ⋮ PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH ⋮ Pricing vulnerable claims in a Lévy-driven model ⋮ PRICING EQUATIONS IN JUMP-TO-DEFAULT MODELS ⋮ Pricing approximations and error estimates for local Lévy-type models with default ⋮ A family of density expansions for Lévy-type processes ⋮ Stochastic modeling and fair valuation of drawdown insurance ⋮ Systematic equity-based credit risk: A CEV model with jump to default ⋮ Utility valuation of multi-name credit derivatives and application to CDOs ⋮ Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model ⋮ Pricing European vanilla options under a jump-to-default threshold diffusion model ⋮ Statistical Inference for Student Diffusion Process ⋮ Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing ⋮ CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK ⋮ PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION ⋮ MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS ⋮ Valuing convertible bonds based on LSRQM method ⋮ Quantile hedging in a defaultable market with life insurance applications ⋮ Statistical inference for reciprocal gamma diffusion process ⋮ The early exercise boundary under the jump to default extended CEV model ⋮ TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK ⋮ Discounted optimal stopping problems in first-passage time models with random thresholds ⋮ Polyanalytic reproducing Kernels on the quantized annulus

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