Results 1 to 10 of about 133,645 (263)

Valuation of Exchange Option with Credit Risk in a Hybrid Model

Mathematics, 2020
In this paper, the valuation of the exchange option with credit risk under a hybrid credit risk model is investigated. In order to build the hybrid model, we consider both the reduced-form model and the structural model.
Geonwoo Kim, Kim Geonwoo
exaly   +3 more sources

On the Optimal Choice of Strike Conventions in Exchange Option Pricing

Mathematics
An important but rarely-addressed option pricing question is how to choose appropriate strikes for implied volatility inputs when pricing more exotic multi-asset derivatives.
Michael Coulon, Elisa Aloš, Aloš Elisa   +2 more
exaly   +3 more sources

A Simplified Approach to the Pricing of Vulnerable Options with Two Underlying Assets in an Intensity-Based Model

Axioms, 2023
In this paper, we study a simplified approach to determine the pricing formula for vulnerable options involving two correlated underlying assets. We utilize an intensity-based model to describe the credit risk associated with these vulnerable options ...
Geonwoo Kim
doaj   +1 more source

Power Exchange Option with a Hybrid Credit Risk under Jump-Diffusion Model

Mathematics, 2021
In this paper, we study the valuation of power exchange options with a correlated hybrid credit risk when the underlying assets follow the jump-diffusion processes.
Junkee Jeon, Geonwoo Kim
doaj   +1 more source

On the hedging of options on exploding exchange rates [PDF]

Finance and Stochastics, 2013
Major revision. Accepted by Finance and Stochastics.
Peter Carr 0002, Travis Fisher, Johannes Ruf   +2 more
openaire   +3 more sources

Valuation and Parities for Exchange Options [PDF]

SIAM Journal on Financial Mathematics, 2015
19 ...
openaire   +5 more sources

The Fractional Step Method versus the Radial Basis Functions for Option Pricing with Correlated Stochastic Processes

International Journal of Financial Studies, 2020
In option pricing models with correlated stochastic processes, an option premium is commonly a solution to a partial differential equation (PDE) with mixed derivatives in more than two space dimensions.
Yusho Kagraoka
doaj   +1 more source

Pricing formula for exchange option in fractional black-scholes model with jumps [PDF]

Journal of Hyperstructures, 2014
In this paper pricing formula for exchange option in a fractional Black-Scholes model with jumps is derived. We found out some errors in proof of pricing formula for European call option [7]. At first we revise these errors and then extend this result to
Kyong-Hui Kim, Myong-Guk Sin, Un-Hua Chong   +2 more
doaj   +1 more source

State and Prospects of Using the Сryptocurrency Derivatives [PDF]

Облік і фінанси, 2020
The emergence and rapid development of the cryptocurrency market necessitated its organization and legal regulation. Today in Ukraine, businesses are allowed to record cryptocurrency as a financial asset (financial instrument / intangible asset), so ...
Oleksandr Petruk, Oksana Novak
doaj   +1 more source

Calculating Real Option Value under Different Approaches in the Tehran Stock Exchange [PDF]

Journal of Asset Management and Financing, 2020
Objective: A question that always arises for some practitioners and academicians is why stock prices in firms are not consistent with traditional discounted cash flow (DCF) models. Method: To this end, firms’ stock market prices should be analyzed on the
Reza Tehrani, Seyed Mojtaba Mirlohi, Mohammad Reza Golkani   +2 more
doaj   +1 more source