Matches in SemOpenAlex for { <https://semopenalex.org/work/W2898150820> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W2898150820 abstract "This paper considers the pricing issue of vulnerable European option when the dynamics of the underlying asset value and counterparty’s asset value follow two correlated exponential Lévy processes with stochastic volatility, and the stochastic volatility is divided into the long-term and short-term volatility. A mean-reverting process is introduced to describe the common long-term volatility risk in underlying asset price and counterparty’s asset value. The short-term fluctuation of stochastic volatility is governed by a mean-reverting process. Based on the proposed model, the joint moment generating function of underlying log-asset price and counterparty’s log-asset value is explicitly derived. We derive a closed-form solution for the vulnerable European option price by using the Fourier inversion formula for distribution functions. Finally, numerical simulations are provided to illustrate the effects of stochastic volatility, jump risk, and counterparty credit risk on the vulnerable option price." @default.
- W2898150820 created "2018-11-02" @default.
- W2898150820 creator A5019929472 @default.
- W2898150820 creator A5062747236 @default.
- W2898150820 creator A5074737912 @default.
- W2898150820 date "2018-10-23" @default.
- W2898150820 modified "2023-10-17" @default.
- W2898150820 title "Pricing Vulnerable European Options under Lévy Process with Stochastic Volatility" @default.
- W2898150820 cites W1762134087 @default.
- W2898150820 cites W1893477298 @default.
- W2898150820 cites W1998921923 @default.
- W2898150820 cites W2042702605 @default.
- W2898150820 cites W2048515311 @default.
- W2898150820 cites W2059516393 @default.
- W2898150820 cites W2071720645 @default.
- W2898150820 cites W2107711400 @default.
- W2898150820 cites W2114872822 @default.
- W2898150820 cites W2138540172 @default.
- W2898150820 cites W2150163453 @default.
- W2898150820 cites W2151065060 @default.
- W2898150820 cites W2160605723 @default.
- W2898150820 cites W2201262395 @default.
- W2898150820 cites W2291341035 @default.
- W2898150820 cites W2295745097 @default.
- W2898150820 cites W2399529940 @default.
- W2898150820 cites W2563466010 @default.
- W2898150820 cites W2609032503 @default.
- W2898150820 cites W2783781264 @default.
- W2898150820 cites W3122167020 @default.
- W2898150820 cites W3122434727 @default.
- W2898150820 cites W3124475197 @default.
- W2898150820 cites W3124527889 @default.
- W2898150820 cites W3125308425 @default.
- W2898150820 cites W3126075489 @default.
- W2898150820 doi "https://doi.org/10.1155/2018/3402703" @default.
- W2898150820 hasPublicationYear "2018" @default.
- W2898150820 type Work @default.
- W2898150820 sameAs 2898150820 @default.
- W2898150820 citedByCount "4" @default.
- W2898150820 countsByYear W28981508202019 @default.
- W2898150820 countsByYear W28981508202021 @default.
- W2898150820 countsByYear W28981508202022 @default.
- W2898150820 crossrefType "journal-article" @default.
- W2898150820 hasAuthorship W2898150820A5019929472 @default.
- W2898150820 hasAuthorship W2898150820A5062747236 @default.
- W2898150820 hasAuthorship W2898150820A5074737912 @default.
- W2898150820 hasBestOaLocation W28981508201 @default.
- W2898150820 hasConcept C106159729 @default.
- W2898150820 hasConcept C117996083 @default.
- W2898150820 hasConcept C13290067 @default.
- W2898150820 hasConcept C149782125 @default.
- W2898150820 hasConcept C162118730 @default.
- W2898150820 hasConcept C162324750 @default.
- W2898150820 hasConcept C178350159 @default.
- W2898150820 hasConcept C192620184 @default.
- W2898150820 hasConcept C24189920 @default.
- W2898150820 hasConcept C2779312582 @default.
- W2898150820 hasConcept C85393063 @default.
- W2898150820 hasConcept C91602232 @default.
- W2898150820 hasConceptScore W2898150820C106159729 @default.
- W2898150820 hasConceptScore W2898150820C117996083 @default.
- W2898150820 hasConceptScore W2898150820C13290067 @default.
- W2898150820 hasConceptScore W2898150820C149782125 @default.
- W2898150820 hasConceptScore W2898150820C162118730 @default.
- W2898150820 hasConceptScore W2898150820C162324750 @default.
- W2898150820 hasConceptScore W2898150820C178350159 @default.
- W2898150820 hasConceptScore W2898150820C192620184 @default.
- W2898150820 hasConceptScore W2898150820C24189920 @default.
- W2898150820 hasConceptScore W2898150820C2779312582 @default.
- W2898150820 hasConceptScore W2898150820C85393063 @default.
- W2898150820 hasConceptScore W2898150820C91602232 @default.
- W2898150820 hasFunder F4320321001 @default.
- W2898150820 hasLocation W28981508201 @default.
- W2898150820 hasLocation W28981508202 @default.
- W2898150820 hasOpenAccess W2898150820 @default.
- W2898150820 hasPrimaryLocation W28981508201 @default.
- W2898150820 hasRelatedWork W1492831365 @default.
- W2898150820 hasRelatedWork W1500986156 @default.
- W2898150820 hasRelatedWork W1718698627 @default.
- W2898150820 hasRelatedWork W2014952306 @default.
- W2898150820 hasRelatedWork W2054226113 @default.
- W2898150820 hasRelatedWork W2054406256 @default.
- W2898150820 hasRelatedWork W2109894179 @default.
- W2898150820 hasRelatedWork W2295745097 @default.
- W2898150820 hasRelatedWork W2377143339 @default.
- W2898150820 hasRelatedWork W2380275357 @default.
- W2898150820 hasRelatedWork W2399529940 @default.
- W2898150820 hasRelatedWork W2609032503 @default.
- W2898150820 hasRelatedWork W2761905002 @default.
- W2898150820 hasRelatedWork W2911234796 @default.
- W2898150820 hasRelatedWork W2980698086 @default.
- W2898150820 hasRelatedWork W3121376934 @default.
- W2898150820 hasRelatedWork W3125214715 @default.
- W2898150820 hasRelatedWork W3143045873 @default.
- W2898150820 hasRelatedWork W3169992716 @default.
- W2898150820 hasRelatedWork W55708833 @default.
- W2898150820 isParatext "false" @default.
- W2898150820 isRetracted "false" @default.
- W2898150820 magId "2898150820" @default.
- W2898150820 workType "article" @default.