Pricing of Vulnerable Timer Options-Reference-Cited by-同舟云学术

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Pricing of Vulnerable Timer Options

Published:2023-10-12 Issue: Volume: Page:
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Kim Donghyun,Ha Mijin,Choi Sun-Yong,Yoon Ji-Hun^ORCID

Funder

Ministry of Science and ICT, South Korea

Pusan National University

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

https://link.springer.com/content/pdf/10.1007/s10614-023-10469-1.pdf

Reference35 articles.

1. Agarwal, A., Juneja, S., & Sircar, R. (2016). American options under stochastic volatility: Control variates, maturity randomization & multiscale asymptotics. Quantitative Finance, 16(1), 17–30. https://doi.org/10.1080/14697688.2015.1068443

2. Augustin, P., Sokolovski, V., Subrahmanyam, M. G., & Tomio, D. (2022). In sickness and in debt: The COVID-19 impact on sovereign credit risk. Journal of Financial Economics, 143(3), 1251–1274. https://doi.org/10.1016/j.jfineco.2021.05.009

3. Bernard, C., & Cui, Z. (2011). Pricing timer options. Journal of Computational Finance, 15(1), 1–37. https://doi.org/10.21314/JCF.2011.228

4. Carr, P., & Lee, R. (2010). Hedging variance options on continuous semimartingales. Finance and Stochastics, 14(2), 179–207. https://doi.org/10.1007/s00780-009-0110-3

5. Choi, S.-Y., Veng, S., Kim, J.-H., & Yoon, J.-H. (2022). A Mellin transform approach to the pricing of options with default risk. Computational Economics, 59(3), 1113–1134. https://doi.org/10.1007/s10614-021-10121-w

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1. On the pricing of vulnerable Parisian options;Finance Research Letters;2024-10

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