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

DOI10.1007/S13160-022-00558-3MaRDI QIDQ6161979zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Pricing vulnerable path-dependent options using integral transforms
• Pricing formula for exotic options with assets exposed to counterparty risk
• Option pricing for path-dependent options with assets exposed to multiple defaults risk
• The pricing of vulnerable power options with double Mellin transforms
• scientific article; zbMATH DE number 6129996

Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 3393603 (Why is no real title available?)
• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
• On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
• Option pricing with Mellin transforms
• Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
• Pricing external barrier options under a stochastic volatility model
• Pricing of vulnerable options under hybrid stochastic and local volatility
• Pricing the risks of default
• Pricing vulnerable options under a stochastic volatility model
• Pricing vulnerable path-dependent options using integral transforms
• QUANTO LOOKBACK OPTIONS
• Stochastic differential equations. An introduction with applications.
• The pricing of dynamic fund protection with default risk
• The pricing of vulnerable options with double Mellin transforms
• Valuing vulnerable geometric Asian options

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

This page was built for publication: Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6161979)