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A closed form solution for vulnerable options with Heston’s stochastic volatility

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Cited by:

  1. Koo, Eunho & Kim, Geonwoo, 2017. "Explicit formula for the valuation of catastrophe put option with exponential jump and default risk," Chaos, Solitons & Fractals, Elsevier, vol. 101(C), pages 1-7.
  2. Xiangdong Liu & Zanbin Zhang, 2023. "Pricing European Vulnerable Options with Jumps and Stochastic Default Obstacles Barrier under Regime Switching," Mathematics, MDPI, vol. 11(19), pages 1-18, October.
  3. Wang, Xingchun, 2021. "Valuation of options on the maximum of two prices with default risk under GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  4. Wang, Guanying & Wang, Xingchun & Zhou, Ke, 2017. "Pricing vulnerable options with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 485(C), pages 91-103.
  5. Chaoqun Ma & Shengjie Yue & Hui Wu & Yong Ma, 2020. "Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 391-429, August.
  6. Zaevski, Tsvetelin S. & Kounchev, Ognyan & Savov, Mladen, 2019. "Two frameworks for pricing defaultable derivatives," Chaos, Solitons & Fractals, Elsevier, vol. 123(C), pages 309-319.
  7. Xingchun Wang, 2021. "Pricing vulnerable options with jump risk and liquidity risk," Review of Derivatives Research, Springer, vol. 24(3), pages 243-260, October.
  8. Xie, Yurong & Deng, Guohe, 2022. "Vulnerable European option pricing in a Markov regime-switching Heston model with stochastic interest rate," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
  9. Gechun Liang & Xingchun Wang, 2021. "Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes," Review of Derivatives Research, Springer, vol. 24(1), pages 1-30, April.
  10. Geonwoo Kim, 2020. "Valuation of Exchange Option with Credit Risk in a Hybrid Model," Mathematics, MDPI, vol. 8(11), pages 1-11, November.
  11. E. Alòs & F. Antonelli & A. Ramponi & S. Scarlatti, 2021. "Cva And Vulnerable Options In Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(02), pages 1-34, March.
  12. Jeon, Junkee & Kim, Geonwoo, 2019. "Pricing of vulnerable options with early counterparty credit risk," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 645-656.
  13. Han, Xingyu, 2018. "Pricing and hedging vulnerable option with funding costs and collateral," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 103-115.
  14. He, Xin-Jiang & Pasricha, Puneet & Lu, Tuantuan & Lin, Sha, 2024. "Vulnerable options with regime switching and stochastic liquidity," The Quarterly Review of Economics and Finance, Elsevier, vol. 98(C).
  15. Lee, Min-Ku & Kim, Jeong-Hoon, 2018. "Pricing of defaultable options with multiscale generalized Heston’s stochastic volatility," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 144(C), pages 235-246.
  16. Guohe Deng & Zhiqin Hong, 2026. "Valuing Vulnerable Geometric Asian Basket Options Under Stochastic Volatility Jump Diffusion Model," Computational Economics, Springer;Society for Computational Economics, vol. 67(4), pages 2361-2397, April.
  17. Chao Wang & Jianmin He & Shouwei Li, 2016. "The European Vulnerable Option Pricing with Jumps Based on a Mixed Model," Discrete Dynamics in Nature and Society, John Wiley & Sons, vol. 2016(1).
  18. Wang, Libin & Liu, Lixia, 2025. "Some bivariate options pricing in a regime-switching stochastic volatility jump-diffusion model with stochastic intensity, stochastic interest and dependent jump," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 229(C), pages 468-490.
  19. Kim, See-Woo & Kim, Jeong-Hoon, 2018. "Analytic solutions for variance swaps with double-mean-reverting volatility," Chaos, Solitons & Fractals, Elsevier, vol. 114(C), pages 130-144.
  20. Xingchun Wang, 2020. "Analytical valuation of Asian options with counterparty risk under stochastic volatility models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 410-429, March.
  21. Panhong Cheng & Zhihong Xu & Zexing Dai, 2023. "Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment," Mathematics and Financial Economics, Springer, volume 17, number 3, December.
  22. Dingding Dong & Xinyue Ou & Xingchun Wang, 2025. "Valuation of vulnerable options using a bivariate Gram–Charlier approximation," Review of Derivatives Research, Springer, vol. 28(1), pages 1-30, April.
  23. Kim, Geonwoo & Koo, Eunho, 2016. "Closed-form pricing formula for exchange option with credit risk," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 221-227.
  24. Junkee Jeon & Geonwoo Kim, 2025. "Analytical Pricing Vulnerable Options with Stochastic Volatility in a Two-Factor Stochastic Interest Rate Model," Mathematics, MDPI, vol. 13(15), pages 1-15, August.
  25. Tendayi Matina & Edmore Mangwende, 2024. "The Effect of the Hurst Parameter on Value at Risk Estimation in Fractional Geometric Brownian motion Price Simulation," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 8(12), pages 1849-1857, December.
  26. Huang, Shoude & Guo, Xunxiang, 2022. "Valuation of European-style vulnerable options under the non-affine stochastic volatility and double exponential jump," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
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