Analytical valuation of vulnerable European and Asian options in intensity-based models
X Wang - Journal of Computational and Applied Mathematics, 2021 - Elsevier
In this paper, we investigate European and Asian options with default risk in an intensity-
based model. By breaking down the risk into idiosyncratic and systematic components, we …
based model. By breaking down the risk into idiosyncratic and systematic components, we …
Affine multivariate GARCH models
M Escobar-Anel, J Rastegari, L Stentoft - Journal of Banking & Finance, 2020 - Elsevier
This paper introduces a class of Affine multivariate GARCH models. Our setting offers
flexibility to accommodate stylized facts of asset returns like dynamic conditional correlation …
flexibility to accommodate stylized facts of asset returns like dynamic conditional correlation …
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
M Escobar-Anel, J Rastegari, L Stentoft - International Review of Financial …, 2023 - Elsevier
This paper introduces a class of multivariate GARCH models that extends the existing
literature by explicitly modeling correlation dependent pricing kernels. A large subclass …
literature by explicitly modeling correlation dependent pricing kernels. A large subclass …
Simulated Greeks for American Options
P Letourneau, L Stentoft - Quantitative Finance, 2023 - Taylor & Francis
This paper develops a method to estimate price sensitivities, so-called Greeks, for American
style options using flexible simulation methods combined with initially dispersed state …
style options using flexible simulation methods combined with initially dispersed state …