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Belief heterogeneity and survival in incomplete markets

✍ Scribed by Tarek Coury; Emanuela Sciubba

Book ID
105867000
Publisher
Springer
Year
2010
Tongue
English
Weight
271 KB
Volume
49
Category
Article
ISSN
0938-2259

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Pricing vulnerable options in incomplete
Pricing vulnerable options in incomplete markets
✍ Mao-Wei Hung; Yu-Hong Liu πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 474 KB

## Abstract This paper follows the framework of P. Klein (1996) to price vulnerable options when the market is incomplete. Vulnerable options, which are usually traded in the over‐the‐counter market, may not only face the risk of default but also the risk of illiquidity. Thus, pricing such options