Tsao, Chueh-Yung; Liu, Chao-Ching - In: Emerging Markets Finance and Trade 48 (2012) S3, pp. 96-115
The 2008 financial crisis forced investors to be more concerned with the risk management of financial instruments, especially derivatives. The main objective of this paper is to study the effect of issuer credit risk on the pricing of options. In particular, we focus on Asian options, which are...
