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Analytical pricing of vulnerable options under a generalized jump–diffusion model

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Cited by:

  1. Han, Xingyu, 2018. "Pricing and hedging vulnerable option with funding costs and collateral," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 103-115.
  2. Wenhan Li & Cuixiang Li & Lixia Liu & Mengna Wang, 2021. "Foreign Currency Power Option Pricing Based on Esscher Transform," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 535-548, August.
  3. Alòs, Elisa & Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2023. "CVA in fractional and rough volatility models," Applied Mathematics and Computation, Elsevier, vol. 442(C).
  4. Junkee Jeon & Geonwoo Kim, 2024. "Analytical Valuation of Vulnerable Exchange Options with Stochastic Volatility in a Reduced-Form Model," Mathematics, MDPI, vol. 12(24), pages 1-11, December.
  5. Junkee Jeon & Geonwoo Kim, 2023. "Valuation of Commodity-Linked Bond with Stochastic Convenience Yield, Stochastic Volatility, and Credit Risk in an Intensity-Based Model," Mathematics, MDPI, vol. 11(24), pages 1-11, December.
  6. Jeon, Jaegi & Kim, Geonwoo & Huh, Jeonggyu, 2021. "An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
  7. Geonwoo Kim, 2020. "Valuation of Exchange Option with Credit Risk in a Hybrid Model," Mathematics, MDPI, vol. 8(11), pages 1-11, November.
  8. 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.
  9. 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).
  10. Eckert, Johanna & Gatzert, Nadine & Martin, Michael, 2016. "Valuation and risk assessment of participating life insurance in the presence of credit risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 382-393.
  11. Xingchun Wang, 2022. "Valuing fade-in options with default risk in Heston–Nandi GARCH models," Review of Derivatives Research, Springer, vol. 25(1), pages 1-22, April.
  12. 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.
  13. F. Antonelli & A. Ramponi & S. Scarlatti, 2021. "CVA and vulnerable options pricing by correlation expansions," Annals of Operations Research, Springer, vol. 299(1), pages 401-427, April.
  14. 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).
  15. 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.
  16. Wang, Xingchun & Zhang, Han, 2022. "Pricing basket spread options with default risk under Heston–Nandi GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  17. Junkee Jeon & Geonwoo Kim, 2025. "On the Pricing of Vulnerable Foreign Equity Options with Stochastic Volatility in an Intensity-Based Model," Mathematics, MDPI, vol. 13(3), pages 1-13, January.
  18. Junkee Jeon & Geonwoo Kim, 2024. "Analytically Pricing a Vulnerable Option under a Stochastic Liquidity Risk Model with Stochastic Volatility," Mathematics, MDPI, vol. 12(17), pages 1-16, August.
  19. Elisa Al`os & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2022. "CVA in fractional and rough volatility models," Papers 2204.11554, arXiv.org.
  20. 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.
  21. Yun, Ana & Kim, Geonwoo, 2025. "Valuing options with hybrid default risk under the stochastic volatility model," Finance Research Letters, Elsevier, vol. 72(C).
  22. Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2022. "Approximate value adjustments for European claims," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1149-1161.
  23. Wang, Heqian & Zhang, Jiayi & Zhou, Ke, 2022. "On pricing of vulnerable barrier options and vulnerable double barrier options," Finance Research Letters, Elsevier, vol. 44(C).
  24. He, Jian & Alavifard, Farzad & Ivanov, Dmitry & Jahani, Hamed, 2019. "A real-option approach to mitigate disruption risk in the supply chain," Omega, Elsevier, vol. 88(C), pages 133-149.
  25. Wang, Xingchun, 2020. "Valuation of Asian options with default risk under GARCH models," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 27-40.
  26. Wang, Xingchun, 2019. "Valuation of new-designed contracts for catastrophe risk management," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
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