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Bai, Jennie; Goldstein, Robert S.; Yang, Fan - In: Journal of financial economics 131 (2019) 1, pp. 186-205

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Volatility derivatives and model-free implied leverage

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Rare disasters, credit, and option market puzzles

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Default risk and option returns

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Determining pledged loan-to-value ratio: an option pricing perspective

Zhang, Ran; Zhang, Jing; Xu, Shuang - In: Financial innovation : FIN 1 (2015) 16, pp. 1-13

decided by term, excessreturn, and the value volatility of the pledge. Next, we extended the same work to coupon loan and … loan-to-value ratio is a concave decreasing function of the value volatility of the pledge; and the pledged loan …

Persistent link: https://www.econbiz.de/10011541978

Analytical pricing of vulnerable options under a generalized jump-diffusion model

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Pricing VXX option with default risk and positive volatility skew

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Pricing vulnerable options with jump risk and liquidity risk

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Valuing spread options with counterparty risk and jump risk

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Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes

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