Table of Contents Author Guidelines Submit a Manuscript
Discrete Dynamics in Nature and Society
Volume 2017 (2017), Article ID 5239808, 8 pages
https://doi.org/10.1155/2017/5239808
Research Article

Pricing Formula for Exotic Options with Assets Exposed to Counterparty Risk

School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 611130, China

Correspondence should be addressed to Li Yan; nc.ude.efuws.4102@ly

Received 2 November 2016; Revised 24 December 2016; Accepted 13 March 2017; Published 27 March 2017

Academic Editor: Leonid Shaikhet

Copyright © 2017 Li Yan. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. F. A. Longstaff, “How much can marketability affect security values?” The Journal of Finance, vol. 50, no. 5, pp. 1767–1774, 1995. View at Publisher · View at Google Scholar
  2. R. C. Merton, “On the pricing of corporate debt: the risk structure of interest rates,” The Journal of Finance, vol. 29, no. 2, pp. 449–469, 1974. View at Publisher · View at Google Scholar
  3. F. Black and J. C. Cox, “Valuing corporate securities: some effects of bond indenture provisions,” The Journal of Finance, vol. 31, no. 2, pp. 351–367, 1976. View at Publisher · View at Google Scholar · View at Scopus
  4. H. E. Leland and K. B. Toft, “Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads,” Journal of Finance, vol. 51, no. 3, pp. 987–1019, 1996. View at Publisher · View at Google Scholar · View at Scopus
  5. N. Chen and S. G. Kou, “Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk,” Mathematical Finance, vol. 19, no. 3, pp. 343–378, 2009. View at Publisher · View at Google Scholar · View at Scopus
  6. S. G. Kou, “Discrete barrier and lookback options,” in Handbooks in OR and MS, J. Birge and V. Linetsky, Eds., vol. 15, chapter 8, Elsevier, 2008. View at Google Scholar
  7. R. A. Jarrow and F. Yu, “Counterparty risk and the pricing of defaultable securities,” Journal of Finance, vol. 56, no. 5, pp. 1765–1799, 2001. View at Publisher · View at Google Scholar · View at Scopus
  8. N. El Karoui, M. Jeanblanc, and Y. Jiao, “What happens after a default: the conditional density approach,” Stochastic Processes and Their Applications, vol. 120, no. 7, pp. 1011–1032, 2010. View at Publisher · View at Google Scholar · View at Scopus
  9. Y. Jiao and H. Pham, “Optimal investment with counterparty risk: a default-density model approach,” Finance and Stochastics, vol. 15, no. 4, pp. 725–753, 2011. View at Publisher · View at Google Scholar · View at Scopus
  10. J. Ma, D. Deng, and H. Zheng, “Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs,” Quantitative Finance, vol. 16, no. 4, pp. 593–603, 2016. View at Publisher · View at Google Scholar · View at Scopus
  11. R. Mansuy and M. Yor, Random Times and Enlargements of Filtrations in a Brownian Setting, Springer, 2005.
  12. S. E. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer, 2004.