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Pricing vulnerable options with stochastic volatility

Citations

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Cited by:

  1. 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.
  2. 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.
  3. Pasricha, Puneet & He, Xin-Jiang, 2026. "Vulnerable options under a Hawkes jump-diffusion model with two-factor stochastic volatility," International Review of Financial Analysis, Elsevier, vol. 111(C).
  4. 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.
  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. 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).
  7. 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).
  8. Zaevski, Tsvetelin S. & Kounchev, Ognyan & Savov, Mladen, 2019. "Two frameworks for pricing defaultable derivatives," Chaos, Solitons & Fractals, Elsevier, vol. 123(C), pages 309-319.
  9. Geonwoo Kim, 2020. "Valuation of Exchange Option with Credit Risk in a Hybrid Model," Mathematics, MDPI, vol. 8(11), pages 1-11, November.
  10. 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.
  11. 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).
  12. 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, March.
  13. 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).
  14. Bi, Hongwei & Wang, Guanying & Wang, Xingchun, 2019. "Valuation of catastrophe equity put options with correlated default risk and jump risk," Finance Research Letters, Elsevier, vol. 29(C), pages 323-329.
  15. Xingchun Wang, 2021. "Pricing vulnerable options with jump risk and liquidity risk," Review of Derivatives Research, Springer, vol. 24(3), pages 243-260, October.
  16. 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).
  17. 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.
  18. Dastranj, Elham & Sahebi Fard, Hossein & Abdolbaghi, Abdolmajid & Reza Hejazi, S., 2020. "Power option pricing under the unstable conditions (Evidence of power option pricing under fractional Heston model in the Iran gold market)," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  19. Zhiwei Su & Xingchun Wang, 2019. "Pricing executive stock options with averaging features under the Heston–Nandi GARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1056-1084, September.
  20. Shafi, Khuram & Latif, Natasha & Shad, Shafqat Ali & Idrees, Zahra & Gulzar, Saqib, 2018. "Estimating option greeks under the stochastic volatility using simulation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1288-1296.
  21. 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.
  22. Xianfei Hui & Baiqing Sun & Indranil SenGupta & Yan Zhou & Hui Jiang, 2022. "Stochastic volatility modeling of high-frequency CSI 300 index and dynamic jump prediction driven by machine learning," Papers 2204.02891, arXiv.org, revised Jan 2023.
  23. Dammak, Wael & Hamad, Salah Ben & de Peretti, Christian & Eleuch, Hichem, 2023. "Pricing of European currency options considering the dynamic information costs," Global Finance Journal, Elsevier, vol. 58(C).
  24. 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.
  25. 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.
  26. 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.
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