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Analytical pricing of vulnerable options under a generalized jump–diffusion model
16 references·9 citing·22 second hop
Analytical pricing of vulnerable options under a generalized jump–diffusion model (2014)Analytical pricing of vulnerable options …Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Theory of rational option pricing (2005)Theory of rational option pri…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Valuing Credit Default Swaps I (2000)Valuing Credit Default Swaps IThe Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000)The Minimal Entropy Martingal…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…On cox processes and credit risky securities (1998)On cox processes and credit r…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…Vulnerable European option pricing in a Markov regime-switching Heston model with stochastic interest rate (2022)Vulnerable European option pr…On pricing of vulnerable barrier options and vulnerable double barrier options (2021)On pricing of vulnerable barr…Analytical valuation of vulnerable European and Asian options in intensity-based models (2021)Analytical valuation of vulne…Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes (2020)Pricing vulnerable options in…Pricing vulnerable European options with dynamic correlation between market risk and credit risk (2020)Pricing vulnerable European o…CVA and vulnerable options pricing by correlation expansions (2019)CVA and vulnerable options pr…Differences in the Prices of Vulnerable Options with Different Counterparties (2016)Differences in the Prices of …ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK (2016)ANALYTICAL VALUATION OF VULNE…European Option Pricing With a Fast Fourier Transform Algorithm for Big Data Analysis (2015)European Option Pricing With …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The Determinants of Credit Spread Changes (2001)A Theory of the Term Structure of Interest Rates (1985)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)The cost of capital, corporation finance and the theory of investment (2008)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets584 cited
  • 2000Valuing Credit Default Swaps I426 cited

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2005
Option pricing and Esscher transform under regime switching
419 cited

Cited by

  • 2022Vulnerable European option pricing in a Markov regime-switching Heston model with stochastic interest rate33 cited
  • 2015European Option Pricing With a Fast Fourier Transform Algorithm for Big Data Analysis27 cited
  • 2016ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK27 cited
  • 2021Analytical valuation of vulnerable European and Asian options in intensity-based models24 cited
  • 2016Differences in the Prices of Vulnerable Options with Different Counterparties23 cited
  • 2021On pricing of vulnerable barrier options and vulnerable double barrier options20 cited
  • 2019CVA and vulnerable options pricing by correlation expansions19 cited
  • 2020Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes19 cited
  • 2020Pricing vulnerable European options with dynamic correlation between market risk and credit risk18 cited