Closed-form pricing formula for exchange option with credit risk
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Publication:2410409
DOI10.1016/j.chaos.2016.06.005zbMath1375.91224OpenAlexW2416860230MaRDI QIDQ2410409
Publication date: 18 October 2017
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2016.06.005
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Exchange option in a two-state Poisson CAPM
- The pricing of vulnerable options with double Mellin transforms
- A closed form solution for vulnerable options with Heston's stochastic volatility
- Exchange option pricing under stochastic volatility: a correlation expansion
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
- Role of noise in a market model with stochastic volatility
- Option pricing with Mellin transforms
- Mellin transform method for European option pricing with Hull-White stochastic interest rate
- Pricing vulnerable options under a stochastic volatility model
- Valuation of vulnerable American options with correlated credit risk
- Probability for transition of business cycle and pricing of options with correlated credit risk
- Exchange Options Under Jump-Diffusion Dynamics
- Changes of numéraire, changes of probability measure and option pricing
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