Funahashi and Kijima (in press, A chaos expansion approach for the pricing of contingent claims, <italic>Journal of Computational Finance</italic>) have proposed an approximation method based on the Wiener--Ito chaos expansion for the pricing of European-style contingent claims. In this paper, we extend the...

In this paper, we propose an approximation method based on the Wiener-Ito chaos expansion for the pricing of European contingent claims. Our method is applicable to widely used option pricing models such as local volatility models, stochastic volatility models and their combinations. This method...

Recent empirical studies have demonstrated the informative nature of the equity returns in explaining the variation of the underlying firm's credit default swap (CDS) spreads. Motivated by these findings, we propose a unified credit-equity model by extending the latent structural model in Kijima...