Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/242019 
Authors: 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Futures Markets [ISSN:] 1096-9934 [Volume:] 41 [Issue:] 5 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2021 [Pages:] 641-657
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
The pricing of options and other derivatives which are subject to the default risk of the writer usually requires the calibration of a sophisticated model and substantial effort in determining the input parameters. We propose a very simple method to incorporate correlated credit risk into the pricing of vulnerable derivatives. The approach is based upon some approximations of more complex models and requires a minimum of input parameters. It is therefore easily applicable and maintains the accuracy of sophisticated models to a large extent, as shown in numerical studies for call options, put options, and discount certificates.
Subjects: 
certificates
credit risk
option pricing
vulnerable options
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
Document Version: 
Published Version

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