Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment-Reference-Cited by-同舟云学术

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Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment

Published:2023-07-10 Issue:3 Volume:17 Page:429-455
ISSN:1862-9679
Container-title:Mathematics and Financial Economics
language:en
Short-container-title:Math Finan Econ

Author:

Cheng Panhong,Xu Zhihong,Dai Zexing

Funder

the Natural Science Foundation of Chuzhou University

the Natural Science Foundation of Universities of Anhui Province

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s11579-023-00339-7.pdf

Reference67 articles.

1. Johnson, H., Stulz, R.: The pricing of options with default risk. J. Finance 42, 267–280 (1987)

2. Klein, P.: Pricing Black–Scholes options with correlated credit risk. J. Bank. Finance 20, 1211–1229 (1996)

3. Hung, M., Liu, Y.: Pricing vulnerable options in incomplete markets. J. Futures Mark. 25, 135–170 (2005)

4. Klein, P., Inglis, M.: Valuation of European options subject to financial distress and interest rate risk. J. Deriv. 6, 44–56 (1999)

5. Lee, M., Yang, S., Kim, J.: A closed form solution for vulnerable options with Heston’s stochastic volatility. Chaos Soltion Fract. 86, 23–27 (2016)

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