Shiu, Yung-Ming; Chou, Pai-Lung; Sheu, Jen-Wen - In: Quantitative Finance 13 (2013) 8, pp. 1211-1223
Over the past few years, many financial institutions have actively traded basket warrants in the over-the-counter market. Prior research has proposed an approach to valuing single-stock options subject to credit. However, this approach cannot be applied directly to the case of basket warrants....