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Analytical valuation of vulnerable European and Asian options in intensity-based models · Study

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ArticleAnalytical valuation of vulnerable European and Asian options in intensity-based models

Xingchun Wang2021

OA

Articlebronze2021

Analytical valuation of vulnerable European and Asian options in intensity-based models

24 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Capital Investment and Risk Analysis Financial Risk and Volatility Modeling

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2007Brownian Motion and Stochastic Calculus 1997Empirical Performance of Alternative Option Pricing Models 1990Pricing Interest-Rate-Derivative Securities 1998Brownian Motion and Stochastic Calculus 1998On cox processes and credit risky securities 2004Credit Risk: Modeling, Valuation and Hedging 2000A Closed-Form GARCH Option Valuation Model

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2019Analytical valuation of Asian options with counterparty risk under stochastic volatility modelsarticle · 21 shared references 2016Differences in the Prices of Vulnerable Options with Different Counterpartiesarticle · 17 shared references 2022Vulnerable European option pricing in a Markov regime-switching Heston model with stochastic interest ratearticle · 14 shared references 2025A closed-form solution for pricing European-style options under the Heston model with credit and liquidity risksarticle · 11 shared references 2016The Valuation of Power Exchange Options with Counterparty Risk and Jump Riskarticle · 10 shared references 2019Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Ratechapter · 10 shared references

Details

Year2021

Typearticle

Published2021-01-18

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2021.113412

openalex_workW3125871005

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