Valuing vulnerable options with bond collateral
Year of publication: |
2021
|
---|---|
Authors: | Wang, Guanying ; Wang, Xingchun |
Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 28.2021, 2, p. 115-118
|
Subject: | collateral | credit risk | Vulnerable Option | Kreditrisiko | Credit risk | Kreditsicherung | Collateral | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Finanzdienstleistung | Financial services | Derivat | Derivative |
-
Asian options with credit risks : and pricing and sensitivity analysis
Tsao, Chueh-yung, (2012)
-
Pricing of vulnerable options with early counterparty credit risk
Jeon, Junkee, (2019)
-
The doble default value-of-the-firm model
Gouriéroux, Christian, (2016)
- More ...
-
Rare shock, two-factor stochastic volatility and currency option pricing
Wang, Guanying, (2014)
-
Quadratic hedging strategies for volatility swaps
Wang, Xingchun, (2015)
-
Pricing vulnerable options with correlated credit risk under jump-diffusion processes
Tian, Lihui, (2014)
- More ...