ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK

DOI10.1017/S0269964816000292zbMath1414.91393MaRDI QIDQ5358107

Xingchun Wang

Publication date: 19 September 2017

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

zbMATH Keywords

pricing modeldiscrete-time frameworkvulnerable optionsautoregressive conditional heteroscedasticity process

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 (11)

An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model ⋮ VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY ⋮ Pricing vulnerable options with stochastic volatility ⋮ Pricing collateralised options in the presence of counterparty credit risk: An extension of the Heston–Nandi model ⋮ The European vulnerable option pricing with jumps based on a mixed model ⋮ Valuing fade-in options with default risk in Heston-Nandi GARCH models ⋮ PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES ⋮ PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION ⋮ 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 ⋮ CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS

Cites Work

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• The Pricing of Options and Corporate Liabilities
• On Cox processes and credit risky securities
• Generalized autoregressive conditional heteroscedasticity
• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• Pricing vulnerable options under a stochastic volatility model
• THE GARCH OPTION PRICING MODEL
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS

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