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Pricing early exercise contracts in incomplete markets

✍ Scribed by A. Oberman; T. Zariphopoulou

Publisher
Springer-Verlag
Year
2003
Tongue
English
Weight
228 KB
Volume
1
Category
Article
ISSN
1619-697X

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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