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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

Firm-specific risk-neutral distributions with options and CDS

Aramonte, Sirio; Jahan-Parvar, Mohammad R.; Rosen, Samuel; … - In: Management science : journal of the Institute for … 68 (2022) 9, pp. 7018-7033

Persistent link: https://www.econbiz.de/10013373168

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

An analytical GARCH valuation model for spread options with default risk

Song, Shiyu; Tang, Dan; Xu, Guangli; Yin, Xunbai - In: International review of economics & finance : IREF 83 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014239894

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

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 options. In contrast with the existing literature we find that the price of the underlying asset at which it is optimal to exercise an American option can be significantly different...

Persistent link: https://www.econbiz.de/10012906086