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Pricing vulnerable options under correlated skew Brownian motions

Published:2022-01-14 Issue:5 Volume:42 Page:852-867
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Guo Che¹,Wang Xingchun¹^ORCID

Affiliation:

1. School of International Trade and Economics University of International Business and Economics Beijing China

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22311

Reference34 articles.

1. First Passage Time of Skew Brownian Motion

2. Counterparty credit risk and the credit default swap market

3. On the computation of hedging strategies in affine GARCH models

4. Quadratic hedging schemes for non-Gaussian GARCH models

5. The Pricing of Options and Corporate Liabilities

Cited by 3 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. Pricing of Vulnerable Timer Options;Computational Economics;2023-10-12

2. Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment;Mathematics and Financial Economics;2023-07-10

3. Valuation of spread options under correlated skew Brownian motions;The European Journal of Finance;2023-04-20

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