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Applied Economics Letters Volume 27, 2020 - Issue 21
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Research Article

Valuing vulnerable options with two underlying assets

Xingchun WangSchool of International Trade and Economics, University of International Business and Economics, Beijing, ChinaCorrespondence[email protected] [email protected]
ORCID Iconhttps://orcid.org/0000-0002-5601-3105View further author information
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Pages 1699-1706 | Published online: 17 Jan 2020

Citations (6)

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Read on this site (4)

Shengan Wang, Qing Zhou & Weilin Xiao. (2023) Pricing vulnerable American put options under jump-diffusion processes when corporate liabilities are random. Communications in Statistics - Simulation and Computation 52:11, pages 5462-5482.
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Xingchun Wang. (2022) Pricing options on the maximum of two average prices under stochastic volatility models. Applied Economics Letters 29:10, pages 887-894.
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Xingchun Wang. (2022) Pricing European basket warrants with default risk under stochastic volatility models. Applied Economics Letters 29:3, pages 253-260.
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Guanying Wang, Xingchun Wang & Xinjian Shao. (2020) The valuation of vulnerable European options with risky collateral. The European Journal of Finance 26:13, pages 1315-1331.
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Articles from other publishers (2)

Geonwoo Kim. (2023) A Simplified Approach to the Pricing of Vulnerable Options with Two Underlying Assets in an Intensity-Based Model. Axioms 12:12, pages 1105.
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Panhong Cheng, Zhihong Xu & Zexing Dai. (2023) Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment. Mathematics and Financial Economics.
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