The pricing of dynamic fund protection with default risk

DOI10.1016/J.CAM.2017.10.031MaRDI QIDQ679581zbMATH OpenOpenAlexFDO

Authors Junkee Jeon, Ji-Hun Yoon, Chang-Rae Park

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

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

Recommendations

• Pricing of fixed-strike lookback options on assets with default risk
• Pricing dynamic fund protections under a stochastic boundary
• The pricing of vulnerable options with double Mellin transforms
• scientific article; zbMATH DE number 7234612
• scientific article; zbMATH DE number 5048394

Cites work

• scientific article; zbMATH DE number 5228515 (Why is no real title available?)
• A NEW METHOD OF PRICING LOOKBACK OPTIONS
• An integral equation representation approach for valuing Russian options with a finite time horizon
• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• Dynamic Fund Protection
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Option pricing with Mellin transforms
• Pricing Dynamic Investment Fund Protection
• Pricing Lookback Options and Dynamic Guarantees
• Pricing Perpetual Fund Protection with Withdrawal Option
• Pricing vulnerable options under a stochastic volatility model
• Pricing vulnerable path-dependent options using integral transforms
• Reset and withdrawal rights in dynamic fund protection
• The pricing of vulnerable options with double Mellin transforms
• Valuing Equity-Indexed Annuities
• Valuing vulnerable geometric Asian options

Cited in

(16)

• 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
• The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model
• 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
• Dynamic fund protection for property markets
• Valuing of timer path-dependent options
• Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
• Pricing Dynamic Investment Fund Protection
• scientific article; zbMATH DE number 7234466 (Why is no real title available?)
• scientific article; zbMATH DE number 7234612 (Why is no real title available?)

This page was built for publication: The pricing of dynamic fund protection with default risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q679581)