Pricing European basket warrants with default risk under stochastic volatility models

被引：6
|
作者：
Wang, Xingchun [1 ]
机构：
[1] Univ Int Business & Econ, Sch Int Trade & Econ, Beijing 100029, Peoples R China
来源：
APPLIED ECONOMICS LETTERS | 2022年 / 29卷 / 03期
基金：
中国国家自然科学基金;
关键词：
Basket warrants; default risk; stochastic volatility; vulnerable options;
D O I：
10.1080/13504851.2020.1862745
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we consider basket warrants with default risk in a stochastic volatility model, where the correlation between the underlying assets is stochastic. In addition, we take into account default risk of warrant issuers, and use a reduced form model to capture default risk. In the proposed framework, a closed-form approximation is provided and the effect of default risk is investigated numerically.
引用
收藏
页码：253 / 260
页数：8
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