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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
&
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

References

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  • Tian, L., G. Wang, X. Wang, and Y. Wang. 2014. “Pricing Vulnerable Options with Correlated Credit Risk under Jump-diffusion Processes.” Journal of Futures Markets 34: 957–979. doi:10.1002/fut.v34.10.
  • Wang, G., X. Wang, and K. Zhou. 2017. “Pricing Vulnerable Options with Stochastic Volatility.” Physica A: Statistical Mechanics and Its Applications 485: 91–103. doi:10.1016/j.physa.2017.04.146.
  • Wang, G., X. Wang, and X. Shao. 2020. “The Valuation of Vulnerable European Options with Risky Collateral.” The European Journal of Finance, Forthcoming. doi: 10.1080/1351847X.2020.1730419.
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  • Wang, X. 2017. “Differences in the Prices of Vulnerable Options with Different Counterparties.” Journal of Futures Markets 37: 148–163. doi:10.1002/fut.v37.2.
  • Xu, W., W. Xu, and W. Xiao. 2015. “Pricing Black-Scholes Options with Correlated Credit Risk and Jump Risk.” Applied Economics Letters 22: 87–93. doi:10.1080/13504851.2013.875098.

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