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What Drives the Price Convergence between Credit Default Swap and Put Option : New Evidence
Chan, Ka Kei - 2019
Credit default swaps (CDSs) and deep out-of-the-money put (DOOMP) options can both be used as a credit protection instrument. However, partial market segmentation results in deviations between firm hazard rates implied by these contracts. These deviations are driven by a systematic...
Persistent link: https://www.econbiz.de/10012899167
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Price convergence between credit default swap and put option : new evidence
Chan, Ka Kei; Kolokolova, Olga; Lin, Ming-Tsung; Poon, … - In: Journal of empirical finance 72 (2023), pp. 188-213
Persistent link: https://www.econbiz.de/10014476820
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Credit valuation adjustment of cap and floor with counterparty risk : a structural pricing model for vulnerable European options
Kao, Lie Jane - In: Review of derivatives research 19 (2016) 1, pp. 41-64
Persistent link: https://www.econbiz.de/10011742280
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Asian options with credit risks : and pricing and sensitivity analysis
Tsao, Chueh-yung; Liu, Chao-ching - In: Emerging markets finance & trade : a journal of the … 48 (2012), pp. 96-115
Persistent link: https://www.econbiz.de/10009778692
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Valuing vulnerable options with bond collateral
Wang, Guanying; Wang, Xingchun - In: Applied economics letters 28 (2021) 2, pp. 115-118
Persistent link: https://www.econbiz.de/10012415094
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Pricing derivative credit risk
Ammann, Manuel - 1998
Persistent link: https://www.econbiz.de/10000674017
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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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Pricing VXX option with default risk and positive volatility skew
Bao, Qunfang; Li, Shenghong; Gong, Donggeng - In: European journal of operational research : EJOR 223 (2012) 1, pp. 246-255
Persistent link: https://www.econbiz.de/10009613957
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Algorithmic counterparty credit exposure for multi-asset Bermudan options
Shen, Yanbin; Anderluh, J. H. M.; Weide, Hans van der - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10011403163
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Closed-form interpolation-based formulas for European call options written on defaultable assets
Orosi, Greg - In: The journal of asset management 16 (2015) 4, pp. 236-242
Persistent link: https://www.econbiz.de/10011413347