Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options

DOI10.1007/s11147-015-9114-7zbMath1345.91072OpenAlexW974212322MaRDI QIDQ315043

Lie-Jane Kao

Publication date: 19 September 2016

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-015-9114-7

zbMATH Keywords

capBasel IIIcredit value adjustment (CVA)floorreduced-form modelstructural pricing modelvulnerable European options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (5)

Computing valuation adjustments for counterparty credit risk using a modified supervisory approach ⋮ A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates ⋮ CVA and vulnerable options pricing by correlation expansions ⋮ Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes ⋮ Approximate value adjustments for European claims

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• General framework for pricing derivative securities
• LIBOR and swap market models and measures
• Double Lookbacks
• Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
• The Market Model of Interest Rate Dynamics
• An equilibrium characterization of the term structure

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