Results 1 to 10 of about 138,587 (217)
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
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On the Optimal Choice of Strike Conventions in Exchange Option Pricing
MathematicsAn important but rarely-addressed option pricing question is how to choose appropriate strikes for implied volatility inputs when pricing more exotic multi-asset derivatives.
Elisa Alòs, Michael Coulon
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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
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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
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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
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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 +2 more
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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
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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 +2 more
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Plasma Exchange as a Rescue Therapy for Acute Liver Failure [PDF]
Journal of Clinical and Diagnostic Research, 2021 Acute Liver Failure (ALF) is a life-threatening condition and often necessitates Liver Transplantation (LT). However, LT is not available to most patients in developing countries due to resource constraints.
Nupur B Patel +3 more
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Triangular divergence-based VIKOR method applied in a q-Rung orthopair fuzzy setting for health insurance plan selection [PDF]
Journal of Fuzzy Extension and ApplicationsSelecting the best health insurance plan is a crucial choice, as it directly impacts both financial stability and access to quality healthcare. This process involves weighing several factors, such as coverage, cost, provider network, and customer ...
Mijanur Rahaman Seikh, Arpita Dey
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