Pricing Vulnerable Options with Copulas

2002 ◽  
Author(s):  
Umberto Cherubini ◽  
Elisa Luciano
Keyword(s):  
Vulnerable Options

The Pricing of Vulnerable Options Under Jump-Diffusion Model

2013 ◽  
Vol 15 (3) ◽  
pp. 204
Author(s):  
Chixiang CHEN ◽  
Biyi SHEN ◽  
Guangyu YANG
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Jump Diffusion Model ◽  
Vulnerable Options

Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy

2016 ◽  
Vol 16 (7) ◽  
pp. 1129-1145 ◽  
Author(s):  
Huawei Niu ◽  
Dingcheng Wang
Keyword(s):  
Diffusion Processes ◽  
Jump Diffusion ◽  
Jump Diffusion Processes ◽  
Vulnerable Options

scholarly journals Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales

2019 ◽  
Vol 15 (1) ◽  
pp. 293-318 ◽  
Author(s):  
Qing-Qing Yang ◽  
◽  
Wai-Ki Ching ◽  
Wanhua He ◽  
Tak-Kuen Siu ◽  
...  
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Fire Sales ◽  
Jump Diffusion Model ◽  
Markov Modulated ◽  
Vulnerable Options

Pricing counterparty default risks: Applications to FRNs and vulnerable options

2005 ◽  
Vol 14 (3) ◽  
pp. 376-392 ◽  
Author(s):  
Jangkoo Kang ◽  
Hwa-Sung Kim
Keyword(s):  
Default Risks ◽  
Vulnerable Options

Pricing vulnerable options under correlated skew Brownian motions

2022 ◽  
Author(s):  
Che Guo ◽  
Xingchun Wang
Keyword(s):  
Brownian Motions ◽  
Vulnerable Options

scholarly journals Pricing vulnerable options with variable default boundary under jump-diffusion processes

2018 ◽  
Vol 2018 (1) ◽  
Author(s):  
Qing Zhou ◽  
Qian Wang ◽  
Weixing Wu
Keyword(s):  
Diffusion Processes ◽  
Jump Diffusion ◽  
Jump Diffusion Processes ◽  
Vulnerable Options

VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY

2018 ◽  
Vol 33 (1) ◽  
pp. 81-104 ◽  
Author(s):  
Xingyu Han
Keyword(s):  
Stochastic Volatility ◽  
Numerical Solutions ◽  
Characteristic Functions ◽  
Transform Method ◽  
Put Options ◽  
Fourier Cosine ◽  
Jump Model ◽  
Double Exponential ◽  
Vulnerable Options ◽  
The Impact

In this paper, we extend the framework of Klein [15] [Journal of Banking & Finance 20: 1211–1229] to a general model under the double exponential jump model with stochastic volatility on the underlying asset and the assets of the counterparty. Firstly, we derive the closed-form characteristic functions for this dynamic. Using the Fourier-cosine expansion technique, we get numerical solutions for vulnerable European put options based on the characteristic functions. The inverse fast Fourier transform method provides a fast numerical algorithm for the twice-exercisable vulnerable Bermuda put options. By virtue of the modified Geske and Johnson method, we obtain an approximate pricing formula of vulnerable American put options. Numerical simulations are made for investigating the impact of stochastic volatility on vulnerable options.

scholarly journals The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment

2015 ◽  
Vol 2015 ◽  
pp. 1-10 ◽  
Author(s):  
Chao Wang ◽  
Shengwu Zhou ◽  
Jingyuan Yang
Keyword(s):  
Brownian Motion ◽  
Interest Rate ◽  
Fractional Brownian Motion ◽  
Stock Price ◽  
Jump Diffusion ◽  
Default Intensity ◽  
Stochastic Interest ◽  
Jump Diffusion Model ◽  
Vulnerable Option ◽  
Vulnerable Options

Under the assumption of the stock price, interest rate, and default intensity obeying the stochastic differential equation driven by fractional Brownian motion, the jump-diffusion model is established for the financial market in fractional Brownian motion setting. With the changes of measures, the traditional pricing method is simplified and the general pricing formula is obtained for the European vulnerable option with stochastic interest rate. At the same time, the explicit expression for it comes into being.

Sign in / Sign up

Export Citation Format

Share Document