The pricing of dynamic fund protection with default risk
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Publication:679581
DOI10.1016/J.CAM.2017.10.031zbMATH Open1377.91159OpenAlexW2765215678MaRDI QIDQ679581FDOQ679581
Junkee Jeon, Chang-Rae Park, Ji-Hun Yoon
Publication date: 11 January 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2017.10.031
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)
Cites Work
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- An integral equation representation approach for valuing Russian options with a finite time horizon
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- Valuing Equity-Indexed Annuities
- Lookback options and dynamic fund protection under multiscale stochastic volatility
- Pricing Perpetual Fund Protection with Withdrawal Option
- Pricing Dynamic Investment Fund Protection
- Dynamic Fund Protection
- Analytical pricing of vulnerable options under a generalized jump-diffusion model
- A NEW METHOD OF PRICING LOOKBACK OPTIONS
- Reset and withdrawal rights in dynamic fund protection
Cited In (15)
- Reset and withdrawal rights in dynamic fund protection
- Pricing vulnerable lookback options using Laplace transforms
- Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
- Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
- Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier
- Pricing dynamic guaranteed funds under the hyper-exponential jump-diffusion model
- Pricing of fixed-strike lookback options on assets with default risk
- Two frameworks for pricing defaultable derivatives
- Closed-form pricing formula for foreign equity option with credit risk
- Valuing of timer path-dependent options
- Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
- Pricing Dynamic Investment Fund Protection
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
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