Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of Derivatives Research 18 (2015) 1, pp. 29-50
<Para ID="Par1">We consider the valuation of options with stressed-beta in a reduced form model. Under this two-state beta model, we provide the analytic pricing formulae for the European options and American options as the integral forms. Specifically, we provide the integral representation of the early...</para>
