In this paper, we investigate the pricing issue of vulnerable options with stochastic volatility
by decomposing stochastic volatility into the long-term and short-term volatility. We describe …

This study extends the framework of Klein [Journal of Banking & Finance, 20, 1211–1229] to
price vulnerable options. We provide a pricing model for vulnerable options which face not …

This study analyzes bank margins in the German secondary market for exchange‐traded
structured financial products, with particular emphasis on the influence of banks' credit risk …

In this paper we propose a model to price European vulnerable options. We formulate their
credit risk in a reduced form model and the dynamics of the spot price in a completely …

This paper considers the pricing issue of vulnerable European options when the price
process of the underlying asset follows the GARCH diffusion model with stochastic interest …

In this paper, we use a Markov-modulated regime switching approach to model various
states of the economy, and study the pricing of vulnerable European options when the …

In this paper, we deal with the problem of European vulnerable option pricing under the
mixed fractional Brownian motion with stochastic corporate liabilities and jumps. Assume …

The pricing of European-style vulnerable option when the price process of the underlying
asset follows non-affine stochastic volatility and double exponential jump is investigated. An …

In this paper, a new pricing model is proposed to investigate the differences in the prices of
vulnerable options with different counterparties. I start by specifying the dynamics of the …

In this paper, we investigate the pricing issue and catastrophe risk management of
exchange options. Exchange options allow the holder to exchange its stocks for another at …