A Simplified Approach to the Pricing of Vulnerable Options with Two Underlying Assets in an Intensity-Based Model
In this paper, we study a simplified approach to determine the pricing formula for vulnerable options involving two correlated underlying assets. We utilize an intensity-based model to describe the credit risk associated with these vulnerable options. Without the change of measure technique, we deri...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-12-01
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| Series: | Axioms |
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| Online Access: | https://www.mdpi.com/2075-1680/12/12/1105 |