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Pricing in electronic markets and networks

✍ Scribed by Martin Spann; Andreas Herrmann; David Sprott

Book ID
107661430
Publisher
Springer-Verlag
Year
2010
Tongue
English
Weight
67 KB
Volume
20
Category
Article
ISSN
1019-6781

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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