## 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 overโtheโcounter market, may not only face the risk of default but also the risk of illiquidity. Thus, pricing such options
Insurance pricing in small size markets
โ Scribed by Amir H. Darooneh
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 170 KB
- Volume
- 380
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
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