This website requires JavaScript.

Vulnerable European and American Options in a Market Model with Optional Hazard Process

Libo LiRuyi LiuMarek Rutkowski
Dec 2022
摘要
We study the upper and lower bounds for prices of European and American styleoptions with the possibility of an external termination, meaning that thecontract may be terminated at some random time. Under the assumption that theunderlying market model is incomplete and frictionless, we obtain dualityresults linking the upper price of a vulnerable European option with the priceof an American option whose exercise times are constrained to times at whichthe external termination can happen with a non-zero probability. Similarly, theupper and lower prices for an vulnerable American option are linked to theprice of an American option and a game option, respectively. In particular, theminimizer of the game option is only allowed to stop at times which theexternal termination may occur with a non-zero probability.
展开全部
图表提取

暂无人提供速读十问回答

论文十问由沈向洋博士提出,鼓励大家带着这十个问题去阅读论文,用有用的信息构建认知模型。写出自己的十问回答,还有机会在当前页面展示哦。

Q1论文试图解决什么问题?
Q2这是否是一个新的问题?
Q3这篇文章要验证一个什么科学假设?
0
被引用
笔记
问答