Wu, Po-Cheng; Lee, Chih-Wei; Kuo, Cheng-Kun - In: The International Journal of Business and Finance Research 6 (2012) 2, pp. 91-100
This paper derives a pricing model for payment deferred vulnerable options and applies the results to the pricing of vulnerable range accrual notes. The valuation model for vulnerable options takes into account the possibility of the option writer defaulting. However, when the payment date is...