We set out, in this paper, to extend the Das and Sundaram (2000) model as a means of simultaneously considering correlated default risk structure and counter-party risk. The multinomial model established by Kamrad and Ritchken (1991) is subsequently modified in order to facilitate the...

The effects of price limits and market illiquidity are crucial for pricing derivatives based on some underlying assets traded in the markets with a price limit rule and an illiquidity phenomenon. We develop models to value options for the cases of either the underlying assets encountering price...