Two frameworks for pricing defaultable derivatives
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- scientific article; zbMATH DE number 2095967
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Cites work
- scientific article; zbMATH DE number 4034749 (Why is no real title available?)
- scientific article; zbMATH DE number 50761 (Why is no real title available?)
- scientific article; zbMATH DE number 1257656 (Why is no real title available?)
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- scientific article; zbMATH DE number 227027 (Why is no real title available?)
- A closed form solution for vulnerable options with Heston's stochastic volatility
- Affine processes and applications in finance
- Bond Market Structure in the Presence of Marked Point Processes
- Catastrophe options with stochastic interest rates and compound Poisson losses
- Closed-form pricing formula for exchange option with credit risk
- Default risk and derivative products
- Defaultable claims in switching models with partial information
- Doubly stochastic Poisson processes
- Enlargement of filtrations with finance in view
- Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
- Financial Modelling with Jump Processes
- First passage times of a jump diffusion process
- Lévy Processes and Stochastic Calculus
- On Cox processes and credit risky securities
- On a problem of Girsanov
- Option pricing when underlying stock returns are discontinuous
- Point processes and queues. Martingale dynamics
- Pricing and hedging vulnerable option with funding costs and collateral
- Pricing of defaultable options with multiscale generalized Heston's stochastic volatility
- Pricing vulnerable claims in a Lévy-driven model
- Pricing vulnerable options with stochastic volatility
- Pricing vulnerable path-dependent options using integral transforms
- Random distribution kernels and three types of defaultable contingent payoffs
- Random times and enlargements of filtrations in a Brownian setting.
- The pricing of dynamic fund protection with default risk
- The pricing of options and corporate liabilities
- The pricing of vulnerable options with double Mellin transforms
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
- Valuing vulnerable geometric Asian options
Cited in
(5)- A jump moment as a stopping time and defaultable derivatives
- Pricing time-capped American options stopped by a first passage time
- PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model
- Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation
- Trapezoid and trapezoidal prism for the maximum relative drawdown: probability, crash options pricing, and risk
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