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Pricing the Option to Surrender in Incomplete Markets

✍ Scribed by Andrea Consiglio; Domenico De Giovanni

Book ID
109158642
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
330 KB
Volume
77
Category
Article
ISSN
0022-4367

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πŸ“œ SIMILAR VOLUMES

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