Pricing vulnerable European options with stochastic default barriers

DOI10.1093/imaman/dpm021zbMath1153.91514OpenAlexW3126075489MaRDI QIDQ5432705

Keng-Chu Ku, Chi-Fai Lo, Cho-Hoi Hui

Publication date: 18 December 2007

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpm021

zbMATH Keywords

option pricingderivativescredit risk

Mathematics Subject Classification ID

Related Items (7)

Bond pricing under imprecise information ⋮ Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment ⋮ Pricing vulnerable American put options under jump-diffusion processes when corporate liabilities are random ⋮ Pricing vulnerable European options under Lévy process with stochastic volatility ⋮ 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 correlated credit risk under jump-diffusion processes when corporate liabilities are random

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