Closed-form pricing formula for foreign equity option with credit risk
Abstract Since credit risk in the over-the-counter (OTC) market has undoubtedly become very important issue, credit risk has to be considered when the options in the OTC market are priced. In this paper, we consider the valuation of foreign equity options with credit risk. In order to derive a close...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2021-07-01
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| Series: | Advances in Difference Equations |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s13662-021-03486-7 |