Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk

DOI10.1007/S13160-022-00558-3zbMATH Open1519.91262OpenAlexW4313400681MaRDI QIDQ6161979FDOQ6161979

Authors:

Publication date: 28 June 2023

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-022-00558-3

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• scientific article; zbMATH DE number 6129996

zbMATH Keywords

Monte Carlo methoddouble Mellin transformearly counterparty default riskmethod of double imagesvulnerable path-dependent option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Laplace transform (44A10)

Cites Work

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• Stochastic differential equations. An introduction with applications.
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• Option pricing with Mellin transforms
• On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
• Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
• Pricing the risks of default
• Valuing vulnerable geometric Asian options
• Pricing vulnerable options under a stochastic volatility model
• Pricing vulnerable path-dependent options using integral transforms
• The pricing of vulnerable options with double Mellin transforms
• QUANTO LOOKBACK OPTIONS
• Pricing external barrier options under a stochastic volatility model
• The pricing of dynamic fund protection with default risk
• Pricing of vulnerable options under hybrid stochastic and local volatility

Cited In (4)

• Option pricing for path-dependent options with assets exposed to multiple defaults risk
• Pricing vulnerable path-dependent options using integral transforms
• The pricing of vulnerable power options with double Mellin transforms
• Pricing formula for exotic options with assets exposed to counterparty risk

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