Vulnerable options pricing under uncertain volatility model
Abstract In this paper, we consider the pricing problem of options with counterparty default risks. We study the asymptotic behavior of vulnerable option prices in the worst case scenario under an uncertain volatility model which contains both corporate assets and underlying assets. We propose a met...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2019-12-01
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| Series: | Journal of Inequalities and Applications |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s13660-019-2266-5 |