Option Pricing for Path-Dependent Options with Assets Exposed to Multiple Defaults Risk
In the present paper, we derive analytical formulas for barrier and lookback options with underlying assets exposed to multiple defaults risks which include exogenous counterparty default risk and endogenous default risk. The endogenous default risk leads the asset price drop to zero and the exogeno...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2020-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2020/2418620 |