Pricing of defaultable options with multiscale generalized Heston's stochastic volatility

DOI10.1016/J.MATCOM.2017.08.005zbMath1483.91234OpenAlexW2752712227MaRDI QIDQ1996984

Jeong-Hoon Kim, Min-Ku Lee

Publication date: 1 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2017.08.005

zbMATH Keywords

stochastic volatilityoption pricingmultiscaledefault riskHeston model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (6)

An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model ⋮ Closed-form pricing formula for foreign equity option with credit risk ⋮ Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment ⋮ Two frameworks for pricing defaultable derivatives ⋮ An empirical study of a mathematical model for influence of government tax on the price behavior and the stability of market price ⋮ Pricing vulnerable options in a mixed fractional Brownian motion with jumps

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A closed form solution for vulnerable options with Heston's stochastic volatility
• Pricing vulnerable options under a stochastic volatility model
• A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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