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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146

Persistent link: https://www.econbiz.de/10010256178

Conic CVA and DVA for option portfolios

Bakel, Sjoerd van; Borovkova, Svetlana; Michielon, Matteo - In: International journal of theoretical and applied finance 23 (2020) 5, pp. 1-30

Persistent link: https://www.econbiz.de/10012496518

Structural estimation of counterparty credit risk under recovery risk

Castellano, Rosella; Corallo, Vincenzo; Morelli, Giacomo - In: Journal of banking & finance 140 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013463128

Jump Risk and Option Liquidity in an Incomplete Market

Hsieh, PeiLin Billy - 2015

' liquidity both statistically and economically …

Persistent link: https://www.econbiz.de/10013032811

Equity Option Implied Probability of Default and Equity Recovery Rate

Chang, Bo Young - 2019

There is a close link between prices of equity options and the probability of default of a firm. We show that in the presence of positive expected equity recovery, the standard methods that assume zero equity recovery at default misestimate the probability of default implicit in option prices....

Persistent link: https://www.econbiz.de/10012903784

The Impact of Liquidity on Option Prices

Chou, Robin K. - 2019

This article illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility … of Duan and Wei (2009), a clear link remains between option prices and liquidity; with a reduction (increase) in spot … (option) liquidity, there is a corresponding increase in the level of the implied volatility curve. The former is consistent …

Persistent link: https://www.econbiz.de/10012906109

Pricing Derivatives with Liquidity Limitations

Syrkin, Mark - 2011

An analytic study of liquidity limitations point out to option prices increase/decrease via volatility enhancements …

Persistent link: https://www.econbiz.de/10013119255

Pricing of Derivatives Contracts under Collateral Agreements : Liquidity and Funding Value Adjustments

Castagna, Antonio - 2013

thresholds. We come up with a decomposition of the total contract's value in a risk-free component, a liquidity value adjustment … and a funding value adjustment. Implications for the organization of a dealing room are also investigated …

Persistent link: https://www.econbiz.de/10013091933

A Defaultable Binomial Tree

Kolman, Marek - 2013

In the study we present a fairly generalized two-level option tree that is capable of pricing credit-linked vanilla plain European/American and path-dependent options. The main contribution is thus an extension of a classical binomial tree methodology to a framework within which the underlying...

Persistent link: https://www.econbiz.de/10013072711

Stochastic Volatility of Financial Assets and Default Risk

Katz, Yuri A. - 2014

We present the non-Gaussian extension of the traditional Merton framework, which takes into account slowly relaxing fluctuations of the volatility of the firm's market value of financial assets. The minimal version of the model depends on the Tsallis entropic parameter q and the generalized...

Persistent link: https://www.econbiz.de/10013048256