Pricing vulnerable options in incomplete markets

This paper follows the framework of P. Klein (1996) to price vulnerable options when the market is incomplete. Vulnerable options, which are usually traded in the over‐the‐counter market, may not only face the risk of default but also the risk of illiquidity. Thus, pricing such options under the ass...

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Veröffentlicht in:	The journal of futures markets 2005-02, Vol.25 (2), p.135-170
Hauptverfasser:	Hung, Mao-Wei, Liu, Yu-Hong
Format:	Artikel
Sprache:	eng
Schlagworte:	Finance Futures Liquidity Mathematical models Methods Options on stocks Options trading Pricing Stock exchange Stock prices Studies Valuation
Online-Zugang:	Volltext
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