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Voting in assemblies of shareholders and incomplete markets

✍ Scribed by Mich Tvede; Hervé Crés

Book ID
105866385
Publisher
Springer
Year
2005
Tongue
English
Weight
202 KB
Volume
26
Category
Article
ISSN
0938-2259

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Pricing vulnerable options in incomplete
Pricing vulnerable options in incomplete markets
✍ Mao-Wei Hung; Yu-Hong Liu 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 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