Valuation of vulnerable American options with correlated credit risk
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Link
http://link.springer.com/content/pdf/10.1007/s11147-007-9007-5.pdf
Reference22 articles.
1. Black F., Scholes M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637–654
2. Bunch D.S., Johnson H. (1992). A simple and numerically efficient valuation method for American puts using a Geske-Johnson approach. Journal of Finance, 47, 809–816
3. Chung S.L. (2002). Pricing American options on foreign assets in a stochastic interest rate economy. Journal of Financial and Quantitative Analytic, 37, 667–692
4. Cox J.C., Ross S.A. (1976). The valuation of options for alternative stochastic processes. Journal of Financial Economics, 3, 145–166
5. Curnow R.N., Dunnett C.W. (1962). The numerical evaluation of certain multivariate normal integrals. Annals of Mathematical Statistics, 33, 571–579
Cited by 22 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. An ETD Method for Vulnerable American Options;Mathematics;2024-02-17
2. Pricing for a vulnerable bull spread options using a mixed modified fractional Hull–White–Vasicek model;Annals of Operations Research;2022-07-20
3. Vulnerable European option pricing in a Markov regime-switching Heston model with stochastic interest rate;Chaos, Solitons & Fractals;2022-03
4. Pricing vulnerable American put options under jump-diffusion processes when corporate liabilities are random;Communications in Statistics - Simulation and Computation;2021-10-19
5. Closed-form pricing formula for foreign equity option with credit risk;Advances in Difference Equations;2021-07-13
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3