Valuing vulnerable Asian options under contagion dynamics

DOI10.1007/S11147-025-09222-7MaRDI QIDQ7239364zbMATH OpenFDO

Authors Zelei Li, Xingchun Wang, Yiming Wang, Mengjie Zhao

Publication date 8 May 2026

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11147-025-09222-7

zbMATH Keywords

cross-asset contagiondefault riskHawkes jump-diffusion processself-excitationvulnerable Asian options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• Analytical valuation of vulnerable European and Asian options in intensity-based models
• Asian options pricing in Hawkes-type jump-diffusion models
• Bounds for the price of discrete arithmetic Asian options
• Changes of numéraire, changes of probability measure and option pricing
• Exchange options under clustered jump dynamics
• Geometric Asian option pricing in general affine stochastic volatility models with jumps
• Geometric Asian options: valuation and calibration with stochastic volatility
• Note on the inversion theorem
• On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
• Optimal system, symmetry reductions and new closed form solutions for the geometric average Asian options
• Pricing Asian options in a semimartingale model
• Pricing Asian options in a stochastic volatility model with jumps
• Pricing of geometric Asian options in the Volterra-Heston model
• Pricing of geometric Asian options under Heston's stochastic volatility model
• Pricing vulnerable options with jump risk and liquidity risk
• Valuing vulnerable geometric Asian options

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