Artikel
Credit risk in derivative securities: A simplified approach
The pricing of options and other derivatives which are subject to the default risk of the writer usually requires the calibration of a sophisticated model and substantial effort in determining the input parameters. We propose a very simple method to incorporate correlated credit risk into the pricing of vulnerable derivatives. The approach is based upon some approximations of more complex models and requires a minimum of input parameters. It is therefore easily applicable and maintains the accuracy of sophisticated models to a large extent, as shown in numerical studies for call options, put options, and discount certificates.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Futures Markets ; ISSN: 1096-9934 ; Volume: 41 ; Year: 2021 ; Issue: 5 ; Pages: 641-657 ; Hoboken, NJ: Wiley
- Klassifikation
-
Wirtschaft
- Thema
-
certificates
credit risk
option pricing
vulnerable options
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Baule, Rainer
- Ereignis
-
Veröffentlichung
- (wer)
-
Wiley
- (wo)
-
Hoboken, NJ
- (wann)
-
2021
- DOI
-
doi:10.1002/fut.22189
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Baule, Rainer
- Wiley
Entstanden
- 2021
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