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Applied Economics Letters Volume 28, 2021 - Issue 2
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Research Article

Valuing vulnerable options with bond collateral

Guanying Wanga College of Management and Economics, Tianjin University, Tianjin, ChinaView further author information
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Xingchun Wangb School of International Trade and Economics, University of International Business and Economics, Beijing, ChinaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-5601-3105View further author information
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Pages 115-118 | Published online: 05 Mar 2020

Citations (3)

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Read on this site (1)

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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Articles from other publishers (2)

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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Ziqi Lei, Qing Zhou, Weixing Wu & Zengwu Wang. (2023) Vulnerable European Call Option Pricing Based on Uncertain Fractional Differential Equation. Journal of Systems Science and Complexity 36:1, pages 328-359.
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