منابع مشابه
Pricing Options on Defaultable Stocks
We develop stock option price approximations for a model which takes both the risk of default and the stochastic volatility into account. We also let the intensity of defaults be influenced by the volatility. We show that it might be possible to infer the risk neutral default intensity from the stock option prices. Our option price approximation has a rich implied volatility surface structure a...
متن کاملA Note on Pricing Options on Defaultable Stocks
In this note, we develop stock option price approximations for a model which takes both the risk o default and the stochastic volatility into account. We also let the intensity of defaults be influenced by the volatility. We show that it might be possible to infer the risk neutral default intensity from the stock option prices. Our option price approximation has a rich implied volatility surfac...
متن کاملPricing and Hedging Options on Defaultable Assets
In general, contingent claims on assets which may default during the duration of the contract cannot be priced and hedged consistently. This is due to the fact that the possibility of a default event brings in an extra uncertain factor, and there are therefore too few assets to construct a hedge against all sources of uncertainty. In this paper we show that consistent pricing and hedging is sti...
متن کاملThe Pricing of Bermudan Options on Defaultable Bonds
The Pricing of Bermudan Options on Defaultable Bonds In this paper, we modify the Nelson and Ramaswamy (1990)-Ho, Stapleton and Subrahmanyam (1995) diffusion approximation. The modification allows the approximation of correlated lognormal diffusion processes. The general method is illustrated by pricing a Bermudan-style put option on the minimum of two asset prices. We then apply the method to ...
متن کاملPricing defaultable debt: some exact results
In this letter, I consider the issue of pricing risky debt by following Merton’s approach. I generalize Merton’s results to the case where the interest rate is modeled by the CIR term structure. Exact closed forms are provided for the risky debt’s price. PACS number: 05.40.+j Fluctuation phenomena, random processes and Brownian motion; 01.90+g other topics of general interest Typeset using REVTEX
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ژورنال
عنوان ژورنال: Applied Mathematical Finance
سال: 2008
ISSN: 1350-486X,1466-4313
DOI: 10.1080/13504860701798283