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.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Journal of Futures Markets ; ISSN: 1096-9934 ; Volume: 41 ; Year: 2021 ; Issue: 5 ; Pages: 641-657 ; Hoboken, NJ: Wiley
- Classification
-
Wirtschaft
- Subject
-
certificates
credit risk
option pricing
vulnerable options
- Event
-
Geistige Schöpfung
- (who)
-
Baule, Rainer
- Event
-
Veröffentlichung
- (who)
-
Wiley
- (where)
-
Hoboken, NJ
- (when)
-
2021
- DOI
-
doi:10.1002/fut.22189
- Handle
- Last update
-
10.04.2025, 1:38 AM CEST
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Baule, Rainer
- Wiley
Time of origin
- 2021
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