Pricing vulnerable basket spread options with liquidity risk

DOI10.1007/S11147-022-09192-0OpenAlexW4306377484MaRDI QIDQ6154208

Ziming Dong, Dan Tang, Xingchun Wang

Publication date: 19 March 2024

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

Full work available at URL: https://doi.org/10.1007/s11147-022-09192-0

zbMATH Keywords

default riskstochastic liquidity riskvulnerable basket optionsvulnerable basket spread options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Multi-asset spread option pricing and hedging
• Closed form spread option valuation
• The pricing of basket-spread options
• A closed-form approximation for valuing European basket warrants under credit risk and interest rate risk

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