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Counterparty credit risk and American options
Klein, Peter; Yang, Jun - In: The journal of derivatives : the official publication … 20 (2013) 4, pp. 7-21
Persistent link: https://www.econbiz.de/10009760552
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Counterparty Credit Risk and American Options
Klein, Peter - 2019
This paper analyzes the effect of counterparty credit risk on optimal early exercise policy and value of American … exercise an American option can be significantly different when there is counterparty credit risk. We show that it is not … the risk of a credit event is fairly remote. Further, we find that discounting the expected payoff on American options at …
Persistent link: https://www.econbiz.de/10012906086
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Speed-up credit exposure calculations for pricing and risk management
Glau, Kathrin; Pachón, Ricardo; Pötz, Christian - In: Quantitative finance 21 (2021) 3, pp. 481-499
Persistent link: https://www.econbiz.de/10012483835
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Managing the risk of embedded options in non-traded credit using portfolio modeling
Engelmann, Bernd - In: International journal of financial engineering 10 (2023) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10014444472
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Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun - In: Review of derivatives research 24 (2021) 3, pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
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Valuing spread options with counterparty risk and jump risk
Li, Zelei; Wang, Xingchun - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012665103
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Firm-specific risk-neutral distributions with options and CDS
Aramonte, Sirio; Jahan-Parvar, Mohammad R.; Rosen, Samuel; … - 2021
Persistent link: https://www.econbiz.de/10012483801
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Analytical valuation of power exchange options with default risk
Xu, Guangli; Shao, Xinjian; Wang, Xingchun - In: Finance research letters 28 (2019), pp. 265-274
Persistent link: https://www.econbiz.de/10012388320
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The valuation of vulnerable European options with risky collateral
Wang, Guanying; Wang, Xingchun; Shao, Xinjian - In: The European journal of finance 26 (2020) 13, pp. 1315-1331
Persistent link: https://www.econbiz.de/10012264969
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Cross-sectional variation of option-implied volatility skew
Wu, Liuren; Tian, Meng - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3566-3580
Persistent link: https://www.econbiz.de/10014551903