Option pricing for path-dependent options with assets exposed to multiple defaults risk

DOI10.1155/2020/2418620zbMath1459.91193OpenAlexW3006499777MaRDI QIDQ2183237

Taoshun He

Publication date: 26 May 2020

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/2418620

Mathematics Subject Classification ID

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

Cites Work

• Optimal investment with counterparty risk: a default-density model approach
• What happens after a default: the conditional density approach
• Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
• Explicit pricing formulas for European option with asset exposed to double defaults risk
• Stochastic calculus for finance. II: Continuous-time models.
• Optimal investment under multiple defaults risk: a BSDE-decomposition approach
• Pricing formula for exotic options with assets exposed to counterparty risk
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
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