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VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
16 references·0 citing·37 second hopsampled
VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY (2018)VALUATION OF VULNERABLE OPTIONS UNDER THE…The pricing of vulnerable options with double Mellin transforms (2014)The pricing of vulnerable opt…Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes (2013)Pricing Vulnerable Options wi…Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options (2012)Two-Dimensional Fourier Cosin…A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)A Novel Pricing Method for Eu…A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)A Fast and Accurate FFT-Based…Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering (2007)Chapter 2 Jump-Diffusion Mode…Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Option Pricing Under a Double…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Pricing Black-Scholes options with correlated credit risk (1996)Pricing Black-Scholes options…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach (1992)A Simple and Numerically Effi…The Pricing of Options with Default Risk (1987)The Pricing of Options with D…The American Put Option Valued Analytically (1984)The American Put Option Value…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The valuation of options for alternative stochastic processes (1976)Pricing vulnerable European options when the option’s payoff can increase the risk of financial distress (2001)Bivariate option pricing with copulas (2002)Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk? (2003)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Financial Modelling with Jump Processes (2003)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)On the Heston Model with Stochastic Interest Rates (2011)“Options, Futures, and Other Derivatives” (2016)Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets (2018)The Behavior of Stock-Market Prices (1965)Time-changed Lévy processes and option pricing (2003)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)On the Corporate Demand for Insurance: Evidence from the Reinsurance Market (1990)The impact of default risk on the prices of options and other derivative securities (1995)The intersection of market and credit risk (2000)Real Options and Interactions with Financial Flexibility (1993)Pricing American-style securities using simulation (1997)Optimal stopping and perpetual options for Lévy processes (2002)First passage times of a jump diffusion process (2003)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
  • 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
  • 1987The Pricing of Options with Default Risk344 cited
  • 1996Pricing Black-Scholes options with correlated credit risk270 cited
  • 2008A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes249 cited
  • 1992A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach130 cited
  • 2012Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options124 cited
  • 2013Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes88 cited

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2007
Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering
83 cited
  • 2014The pricing of vulnerable options with double Mellin transforms72 cited
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