Effect of institutional deleveraging on option valuation problems

DOI10.3934/jimo.2020060zbMath1476.91195OpenAlexW3012743182MaRDI QIDQ1983756

Wai-Ki Ching, Wan-Hua He, Qing-Qing Yang, Na Song

Publication date: 10 September 2021

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2020060

zbMATH Keywords

option valuationrisk-neutral pricingendogenous riskfire salesdeleverage

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Dirichlet forms and white noise analysis
• Stochastic calculus for finance. II: Continuous-time models.
• Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
• FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
• Occupation times in markov processes
• Financial Modelling with Jump Processes
• Changes of numéraire, changes of probability measure and option pricing
• Option pricing when underlying stock returns are discontinuous
• Occupation times for two state Markov chains

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