Pricing Formula for Exotic Options with Assets Exposed to Counterparty Risk
Author
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-03-27
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
This paper gives analytical formulas for lookback and barrier options on underlying assets that are exposed to a counterparty risk.
The counterparty risk induces a drop in the asset price, but the asset can still be traded after this default time.
A novel technique is developed to valuate the lookback and barrier options by first conditioning on the predefault and the postdefault time and then obtain the unconditional analytic formulas for their prices.
American Psychological Association (APA)
Yan, Li. 2017. Pricing Formula for Exotic Options with Assets Exposed to Counterparty Risk. Discrete Dynamics in Nature and Society،Vol. 2017, no. 2017, pp.1-8.
https://search.emarefa.net/detail/BIM-1151507
Modern Language Association (MLA)
Yan, Li. Pricing Formula for Exotic Options with Assets Exposed to Counterparty Risk. Discrete Dynamics in Nature and Society No. 2017 (2017), pp.1-8.
https://search.emarefa.net/detail/BIM-1151507
American Medical Association (AMA)
Yan, Li. Pricing Formula for Exotic Options with Assets Exposed to Counterparty Risk. Discrete Dynamics in Nature and Society. 2017. Vol. 2017, no. 2017, pp.1-8.
https://search.emarefa.net/detail/BIM-1151507
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1151507