Closed-form pricing formula for exchange option with credit risk

被引：22
作者：
Kim, Geonwoo [1 ]
Koo, Eunho [2 ]
机构：
[1] Seoul Natl Univ, Dept Math Sci, Seoul 151747, South Korea
[2] Yonsei Univ, Dept Math, Seoul 120749, South Korea
来源：
CHAOS SOLITONS & FRACTALS | 2016年 / 91卷
基金：
新加坡国家研究基金会;
关键词：
Exchange option; Credit risk; Mellin transform; STOCHASTIC VOLATILITY; VULNERABLE OPTIONS; MELLIN TRANSFORMS; MODEL;
D O I：
10.1016/j.chaos.2016.06.005
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this paper, we study the valuation of Exchange option with credit risk. Since the over-the-counter (OTC) markets have grown rapidly in size, the counterparty default risk is very important and should be considered for the valuation of options. For modeling of credit risk, we use the structural model of Klein [13]. We derive the closed-form pricing formula for the price of the Exchange option with credit risk via the Mellin transform and provide the experiment results to illustrate the important properties of option with numerical graphs. (C) 2016 Elsevier Ltd. All rights reserved.
引用
收藏
页码：221 / 227
页数：7
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