Pricing collateralised options in the presence of counterparty credit risk: An extension of the Heston–Nandi model

DOI10.37920/SASJ.2022.56.1.3zbMath1499.62393OpenAlexW4285261127MaRDI QIDQ5070711

Pierre J. Venter, Eben Maré

Publication date: 14 April 2022

Published in: South African Statistical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.37920/sasj.2022.56.1.3

zbMATH Keywords

collateraloption pricingGARCHcounterparty credit risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Stochastic calculus for finance. II: Continuous-time models.
• THE GARCH OPTION PRICING MODEL
• 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

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