The pricing of dynamic fund protection with default risk

DOI10.1016/j.cam.2017.10.031zbMath1377.91159OpenAlexW2765215678MaRDI QIDQ679581

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

zbMATH Keywords

default riskdouble Mellin transformvulnerable optiondynamic fund protection

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items

Closed-form pricing formula for foreign equity option with credit risk, Valuing of timer path-dependent options, Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk, Two frameworks for pricing defaultable derivatives, Unnamed Item, Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier, Pricing of fixed-strike lookback options on assets with default risk

Cites Work

• Unnamed Item
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