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Valuation of vulnerable American options with correlated credit risk · Study

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ArticleValuation of vulnerable American options with correlated credit risk

Lung‐Fu Chang2007

Article2007

Valuation of vulnerable American options with correlated credit risk

Lung‐Fu Chang · Mao‐Wei Hung

27 citations·0/0 files stored·Review of Derivatives Research

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Stochastic processes and financial applications Credit Risk and Financial Regulations Risk Management in Financial Firms

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1973Theory of Rational Option Pricing 2005Theory of rational option pricing 2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1976The valuation of options for alternative stochastic processes 1981Martingales and stochastic integrals in the theory of continuous trading 1995Pricing Derivatives on Financial Securities Subject to Credit Risk

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2012Pricing options with credit risk in a reduced form model 2018VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY 2018Pricing of vulnerable options with early counterparty credit risk

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2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 10 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 10 shared references 2017Pricing Vulnerable Options with Jump Clusteringarticle · 9 shared references 2005Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extensionarticle · 9 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 8 shared references 2001Pricing vulnerable European options when the option’s payoff can increase the risk of financial distressarticle · 8 shared references

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Year2007

Typearticle

Published2007-08-14

VenueReview of Derivatives Research

ISSN-L1380-6645

Languageen

Citations27

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11147-007-9007-5

openalex_workW2025660709

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