Pricing vulnerable path-dependent options using integral transforms

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• 作者：Junkee Jeon^a ; ^{hollman@snu.ac.kr" class="auth_mail" title="E-mail the corresponding author} ; Ji-Hun Yoon^b ; ^{yssci99@pusan.ac.kr" class="auth_mail" title="E-mail the corresponding author} ; Myungjoo Kang^a ; ^{mkang@snu.ac.kr" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Vulnerable barrier option ; Vulnerable double barrier option ; Vulnerable lookback option ; Method of image ; Double Mellin transform
• 刊名：Journal of Computational and Applied Mathematics
• 出版年：2017
• 出版时间：15 March 2017
• 年：2017
• 卷：313
• 期：Complete
• 页码：259-272
• 全文大小：468 K

文摘

In the over-the-counter (OTC) markets, the holders of many contracts are vulnerable to counterparty credit risk. Because of this issue, vulnerable options must be considered. In addition, in a financial environment, the pricing of path-dependent options yields many interesting mathematical challenges. In this paper, we study the pricing of vulnerable path-dependent options using double Mellin transforms to investigate an explicit (closed) form pricing formula or semi-analytic formula in each path-dependent option.