[BOOK][B] Credit risk valuation: methods, models, and applications
M Ammann - 2002 - books.google.com
Credit risk is an important consideration in most financial transactions. As for any other risk,
the risk taker requires compensation for the undiversifiable part of the risk taken. In bond …
the risk taker requires compensation for the undiversifiable part of the risk taken. In bond …
Pricing vulnerable European options when the option's payoff can increase the risk of financial distress
P Klein, M Inglis - Journal of Banking & Finance, 2001 - Elsevier
We extend the results of Johnson and Stulz (Johnson, H., Stulz, R., 1987. Journal of Finance
42, 267–280) and Klein (Klein, PC, 1996. Journal of Banking and Finance 20, 1211–1229) …
42, 267–280) and Klein (Klein, PC, 1996. Journal of Banking and Finance 20, 1211–1229) …
Pricing vulnerable options with stochastic volatility
G Wang, X Wang, K Zhou - Physica A: Statistical Mechanics and its …, 2017 - Elsevier
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 …
by decomposing stochastic volatility into the long-term and short-term volatility. We describe …
Pricing vulnerable options with correlated credit risk under jump‐diffusion processes
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 …
price vulnerable options. We provide a pricing model for vulnerable options which face not …
Pricing vulnerable options with jump clustering
Y Ma, K Shrestha, W Xu - Journal of Futures Markets, 2017 - Wiley Online Library
This paper presents a valuation of vulnerable European options using a model with self‐
exciting Hawkes processes that allow for clustered jumps rather than independent jumps …
exciting Hawkes processes that allow for clustered jumps rather than independent jumps …
Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates
R Baule, O Entrop, M Wilkens - Journal of Futures Markets …, 2008 - Wiley Online Library
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 …
structured financial products, with particular emphasis on the influence of banks' credit risk …
Vulnerable European option pricing in a Markov regime-switching Heston model with stochastic interest rate
Y Xie, G Deng - Chaos, Solitons & Fractals, 2022 - Elsevier
This paper considers pricing of European-style vulnerable options under the Heston
stochastic volatility and stochastic interest rate model in which the mean-reversion levels of …
stochastic volatility and stochastic interest rate model in which the mean-reversion levels of …
The valuation of power exchange options with counterparty risk and jump risk
This study presents a pricing model for power exchange options, in which the possibility of
default by the risky counterparty as well as the arrival of important business information are …
default by the risky counterparty as well as the arrival of important business information are …
Analytical pricing of vulnerable options under a generalized jump–diffusion model
FA Fard - Insurance: Mathematics and Economics, 2015 - Elsevier
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 …
credit risk in a reduced form model and the dynamics of the spot price in a completely …
Pricing vulnerable options with stochastic volatility and stochastic interest rate
C Ma, S Yue, H Wu, Y Ma - Computational Economics, 2020 - Springer
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 …
process of the underlying asset follows the GARCH diffusion model with stochastic interest …