Pricing Formula for Exotic Options with Assets Exposed to Counterparty Risk
This paper gives analytical formulas for lookback and barrier options on underlying assets that are exposed to a counterparty risk. The counterparty risk induces a drop in the asset price, but the asset can still be traded after this default time. A novel technique is developed to valuate the lookba...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2017-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2017/5239808 |