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Pricing Equity Derivatives Subject To Bankruptcy
Citations
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Cited by:
- Agostino Capponi & Christoph Frei, 2017. "Systemic Influences on Optimal Equity-Credit Investment," Management Science, INFORMS, vol. 63(8), pages 2756-2771, August.
- Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2015. "Pricing and static hedging of American-style knock-in options on defaultable stocks," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 343-360.
- Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2020. "Robust XVA," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 738-781, July.
- Kim, Jinbeom & Leung, Tim, 2016.
"Pricing derivatives with counterparty risk and collateralization: A fixed point approach,"
European Journal of Operational Research, Elsevier, vol. 249(2), pages 525-539.
- Jinbeom Kim & Tim Leung, 2015. "Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach," Papers 1501.06221, arXiv.org.
- Agostino Capponi & José Figueroa-López & Andrea Pascucci, 2015.
"Dynamic credit investment in partially observed markets,"
Finance and Stochastics, Springer, vol. 19(4), pages 891-939, October.
- Agostino Capponi & Jose Enrique Figueroa Lopez & Andrea Pascucci, 2013. "Dynamic Credit Investment in Partially Observed Markets," Papers 1303.2950, arXiv.org, revised Jun 2014.
- Xu, Ruxing, 2011. "A lattice approach for pricing convertible bond asset swaps with market risk and counterparty risk," Economic Modelling, Elsevier, vol. 28(5), pages 2143-2153, September.
- Anastasia Borovykh & Andrea Pascucci & Cornelis W. Oosterlee, 2019. "Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models," Papers 1905.01706, arXiv.org.
- Rüdiger Frey & Thorsten Schmidt, 2009. "Pricing Corporate Securities Under Noisy Asset Information," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 403-421, July.
- Huang, Haishi, 2010. "Convertible Bonds: Default Risk and Uncertain Volatility," Bonn Econ Discussion Papers 09/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Tetsuya Ishikawa & Scott Robertson, 2017. "Optimal Investment and Pricing in the Presence of Defaults," Papers 1703.00062, arXiv.org.
- Tim Leung & Peng Liu, 2012.
"Risk Premia And Optimal Liquidation Of Credit Derivatives,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-34.
- Tim Leung & Peng Liu, 2011. "Risk Premia and Optimal Liquidation of Credit Derivatives," Papers 1110.0220, arXiv.org, revised Oct 2012.
- Aleksey S. Polunchenko & Grigory Sokolov, 2016. "An Analytic Expression for the Distribution of the Generalized Shiryaev–Roberts Diffusion," Methodology and Computing in Applied Probability, Springer, vol. 18(4), pages 1153-1195, December.
- Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.
- Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro, 2013. "Pricing and static hedging of American-style options under the jump to default extended CEV model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4059-4072.
- Chih-Chen Hsu & Chung-Gee Lin & Tsung-Jung Kuo, 2020. "Pricing of Arithmetic Asian Options under Stochastic Volatility Dynamics: Overcoming the Risks of High-Frequency Trading," Mathematics, MDPI, vol. 8(12), pages 1-16, December.
- Likuan Qin & Vadim Linetsky, 2016. "Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing," Operations Research, INFORMS, vol. 64(1), pages 99-117, February.
- Campi, Luciano & Polbennikov, Simon & Sbuelz, Alessandro, 2009. "Systematic equity-based credit risk: A CEV model with jump to default," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 93-108, January.
- Likuan Qin & Vadim Linetsky, 2014. "Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing," Papers 1411.3075, arXiv.org, revised Sep 2015.
- Rafael Mendoza-Arriaga & Vadim Linetsky, 2014. "Time-changed CIR default intensities with two-sided mean-reverting jumps," Papers 1403.5402, arXiv.org.
- Anastasia Borovykh & Cornelis W. Oosterlee & Andrea Pascucci, 2016. "Pricing Bermudan options under local L\'evy models with default," Papers 1604.08735, arXiv.org.
- Lingfei Li & Vadim Linetsky, 2015. "Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach," Finance and Stochastics, Springer, vol. 19(4), pages 941-977, October.
- Kay Giesecke & Dmitry Smelov, 2013. "Exact Sampling of Jump Diffusions," Operations Research, INFORMS, vol. 61(4), pages 894-907, August.
- Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov, 2012. "A Framework for Extracting the Probability of Default from Stock Option Prices," IMES Discussion Paper Series 12-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
- Dean Fantazzini & Stephan Zimin, 2020.
"A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies,"
Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 19-69, March.
- Fantazzini, Dean & Zimin, Stephan, 2019. "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," MPRA Paper 95988, University Library of Munich, Germany.
- Jos� Carlos Dias & João Pedro Vidal Nunes & João Pedro Ruas, 2015. "Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 1995-2010, December.
- Truc Le, 2014. "Intrinsic Prices Of Risk," Papers 1403.0333, arXiv.org, revised Aug 2014.
- Nan Chen & S. G. Kou, 2009. "Credit Spreads, Optimal Capital Structure, And Implied Volatility With Endogenous Default And Jump Risk," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 343-378, July.
- Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A family of density expansions for L\'evy-type processes," Papers 1312.7328, arXiv.org.
- Bo Young Chang & Greg Orosi, 2016. "Equity Option-Implied Probability of Default and Equity Recovery Rate," Staff Working Papers 16-58, Bank of Canada.
- Christian Gouriéroux & Yang Lu, 2023. "Noncausal affine processes with applications to derivative pricing," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 766-796, July.
- Tian‐Shyr Dai & Chen‐Chiang Fan & Liang‐Chih Liu & Chuan‐Ju Wang & Jr‐Yan Wang, 2022. "A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2103-2134, December.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2019. "Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models," Papers 1912.06948, arXiv.org, revised Dec 2019.
- Andrea De Martino & Edward Manuel Ruiz Crosby & Roberto Stagni, 2017. "A unified framework for pricing credit and equity derivatives," Working Papers 116, Peruvian Economic Association.
- Sakurai, Yuji & Uchida, Yoshihiko, 2014. "Rehypothecation dilemma: Impact of collateral rehypothecation on derivative prices under bilateral counterparty credit risk," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 361-373.
- Tahir Choulli & Catherine Daveloose & Michèle Vanmaele, 2020. "A martingale representation theorem and valuation of defaultable securities," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1527-1564, October.
- Tim Leung & Michael Ludkovski, 2010. "Optimal Timing to Purchase Options," Papers 1008.3650, arXiv.org, revised Apr 2011.
- Matthew Lorig, 2011. "Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach," Papers 1109.0738, arXiv.org, revised Apr 2012.
- Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia, 2013.
"Stochastic modeling and fair valuation of drawdown insurance,"
Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 840-850.
- Hongzhong Zhang & Tim Leung & Olympia Hadjiliadis, 2013. "Stochastic Modeling and Fair Valuation of Drawdown Insurance," Papers 1310.3860, arXiv.org.
- Agostino Capponi & Stefano Pagliarani & Tiziano Vargiolu, 2014. "Pricing vulnerable claims in a Lévy-driven model," Finance and Stochastics, Springer, vol. 18(4), pages 755-789, October.