Pricing formula for exotic options with assets exposed to counterparty risk

DOI10.1155/2017/5239808zbMath1405.91657OpenAlexW2603166767WikidataQ59143201 ScholiaQ59143201MaRDI QIDQ2398763

Li Yan

Publication date: 21 August 2017

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

Full work available at URL: https://doi.org/10.1155/2017/5239808

zbMATH Keywords

counterparty riskexotic optionpricing formulabarrier optionslookback options

Mathematics Subject Classification ID

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

Related Items (3)

Option pricing for path-dependent options with assets exposed to multiple defaults risk ⋮ Proactive hedging European call option pricing with linear position strategy ⋮ Explicit pricing formulas for European option with asset exposed to double defaults risk

Cites Work

• Optimal investment with counterparty risk: a default-density model approach
• Random times and enlargements of filtrations in a Brownian setting.
• What happens after a default: the conditional density approach
• Stochastic calculus for finance. II: Continuous-time models.
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs

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