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Pricing Vulnerable Options with Copulas [PDF]

The Journal of Risk Finance, 2002
In this paper we apply a copula function pricing technique to the evaluation of vulnerable options, i.e. options with counterpart risk. Using copulas enables to separate the specification of marginal distributions and the dependence structure of the events of exercise of the option and default of the counterpart.
Elisa Luciano, Umberto Cherubini
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CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE

International Journal of Theoretical and Applied Finance, 2009
It is well known that as the time interval between two consecutive observations shrinks to zero, a properly constructed GARCH model will weakly converge to a bivariate diffusion. Naturally the European option price under the GARCH model will also converge to its bivariate diffusion counterpart.
Duan, J.-C., Wang, Y., Zou, J.
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Option Pricing Theory

1987
Financial contracting is as old as human history. Deeds for the sale of land have been discovered that date to before 2800 bc. The Code of Hammurabi (c1800 bc) regulated, among other things, the terms of credit. Contingent contracting was also common.
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On pricing of credit spread options

European Journal of Operational Research, 2005
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
GIACOMETTI, Rosella, Teocchi, Mariangela
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Pricing Options on Realized Variance

Finance and Stochastics, 2005
Models which hypothesize that returns are pure jump processes with independent increments have been shown to be capable of capturing the observed variation of market prices of vanilla stock options across strike and maturity. In this paper, these models are employed to derive in closed form the prices of derivatives written on future realized quadratic
Yor, Marc, Carr, P., Geman, H., Madan, D.B.   +3 more
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The Pricing of Options and Corporate Liabilities

Journal of Political Economy, 1973
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Black, Fischer, Scholes, Myron S
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Pricing and Hedging Spread Options

SIAM Review, 2003
There is already extensive literature on spread options in the equity, fixed income, foreign exchange and commodities markets. The authors patiently and cleverly put together the material scattered across recent textbooks and journal papers. After presenting a general overview of their common features, they describe in detail the mathematical framework
René Carmona 0001, Valdo Durrleman
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OPTION PRICING BOUNDS AND THE PRICING OF BOND OPTIONS

Journal of Business Finance & Accounting, 1996
Astrup Jensen, Bjarne, Aase Nielsen, Jørgen   +1 more
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Active timber management by outsourcing stumpage price uncertainty with the American put option

Forest Policy and Economics, 2023
Sun Joseph Chang
exaly  

The option pricing problem

2021
Elisa Alòs, David Garcia Lorite
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