Valuation of vulnerable American options with correlated credit risk
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Publication:2462884
DOI10.1007/s11147-007-9007-5zbMath1274.91406OpenAlexW2025660709MaRDI QIDQ2462884
Publication date: 5 December 2007
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-007-9007-5
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY ⋮ Pricing vulnerable options with stochastic volatility ⋮ Closed-form pricing formula for foreign equity option with credit risk ⋮ Explicit formula for the valuation of catastrophe put option with exponential jump and default risk ⋮ Closed-form pricing formula for exchange option with credit risk ⋮ Pricing vulnerable power exchange options in an intensity based framework ⋮ PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES ⋮ Pricing vulnerable American put options under jump-diffusion processes when corporate liabilities are random ⋮ Pricing options with credit risk in a reduced form model ⋮ The pricing of vulnerable options in a fractional Brownian motion environment ⋮ Valuation of the vulnerable option price based on mixed fractional Brownian motion ⋮ Pricing vulnerable options with market prices of common jump risks under regime-switching models ⋮ Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model ⋮ Pricing vulnerable options with correlated credit risk under jump-diffusion processes when corporate liabilities are random
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