PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION

DOI10.1017/S0269964816000425zbMath1419.91630MaRDI QIDQ4628409

Xingchun Wang

Publication date: 13 March 2019

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityGARCH modelsstochastic correlationvulnerable options

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY ⋮ Valuing fade-in options with default risk in Heston-Nandi GARCH models ⋮ A CLOSED-FORM GARCH VALUATION MODEL FOR POWER EXCHANGE OPTIONS WITH COUNTERPARTY RISK ⋮ Pricing vulnerable fader options under stochastic volatility models ⋮ Vulnerable European call option pricing based on uncertain fractional differential equation ⋮ Analytical valuation of vulnerable European and Asian options in intensity-based models ⋮ Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes ⋮ Pricing vulnerable options with jump risk and liquidity risk

Cites Work

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• A Theory of the Term Structure of Interest Rates
• THE GARCH OPTION PRICING MODEL
• Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
• ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

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