Option Pricing for Path-Dependent Options with Assets Exposed to Multiple Defaults Risk
Author
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-02-12
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
In the present paper, we derive analytical formulas for barrier and lookback options with underlying assets exposed to multiple defaults risks which include exogenous counterparty default risk and endogenous default risk.
The endogenous default risk leads the asset price drop to zero and the exogenous counterparty default risk induces a drop in the asset price, but the asset can still be traded after this default time.
An original technique is developed to valuate the barrier and lookback options by first conditioning on the predefault and the afterdefault time and then obtaining the unconditional analytic formulas for their price.
We also compare the pricing results of our model with the default-free option model and exogenous counterparty default risk option model.
American Psychological Association (APA)
He, Taoshun. 2020. Option Pricing for Path-Dependent Options with Assets Exposed to Multiple Defaults Risk. Discrete Dynamics in Nature and Society،Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1152881
Modern Language Association (MLA)
He, Taoshun. Option Pricing for Path-Dependent Options with Assets Exposed to Multiple Defaults Risk. Discrete Dynamics in Nature and Society No. 2020 (2020), pp.1-13.
https://search.emarefa.net/detail/BIM-1152881
American Medical Association (AMA)
He, Taoshun. Option Pricing for Path-Dependent Options with Assets Exposed to Multiple Defaults Risk. Discrete Dynamics in Nature and Society. 2020. Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1152881
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152881