This paper quantifies the premium demanded by the investors for bearing the corporate default risk. We propose a novel approach that exploits the information in both credit default swap (CDS) spreads and stock prices, using the pricing restrictions provided by a structural model of credit risk....

We propose an accurate method for pricing arithmetic Asian options on the discrete or continuous average in a general model setting by means of a lower bound approximation. In particular, we derive analytical expressions for the lower bound in the Fourier domain. This is then recovered by a...

In this note, we revisit the innovative transform approach introduced by Cai, Song, and Kou [(2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3):540–554] for accurately approximating the probability distribution of a weighted stochastic sum or time...