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논문 리스트

2021
Simplified Approach to Valuation of Vulnerable Exchange Option under a Reduced-Form Model Simplified Approach to Valuation of Vulnerable Exchange Option under a Reduced-Form Model
영남수학회
논문정보
Publisher
East Asian Mathematical Journal
Issue Date
2021-01-31
Keywords
-
Citation
-
Source
-
Journal Title
-
Volume
37
Number
1
Start Page
79
End Page
85
DOI
ISSN
12266973
Abstract
In this paper, we investigate the valuation of vulnerable exchange option that has credit risk of option issuer. The reduced-form model is used to model credit risk. We assume that credit event is determined by the jump of the counting process with stochastic intensity, which follows the mean reverting process. We propose a simple approach to derive the closed-form pricing formula of vulnerable exchange option under the reduced-form model and provide the pricing formula as the standard normal cumulative function.

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