PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

DOI10.1111/J.1467-9965.2006.00271.XzbMATH Open1145.91351OpenAlexW2127456791MaRDI QIDQ5488975FDOQ5488975

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

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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)

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Cited In (45)

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

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