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Pricing and hedging in incomplete markets

✍ Scribed by Peter Carr; Helyette Geman; Dilip B Madan

Book ID: 114221230
Publisher: Elsevier Science
Year: 2001
Tongue: English
Weight: 259 KB
Volume: 62
Category: Article
ISSN: 0304-405X
DOI: 10.1016/s0304-405x(01)00075-7

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## 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