Pricing options on the maximum or the minimum of several assets with default risk

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-08-29 DOI:10.1016/j.najef.2024.102272

Jiayi Zhang , Ke Zhou

引用次数: 0

Abstract

This paper presents analytical solutions for options on the maximum or the minimum of several assets with counterparty default risk before maturity, including derivations of several specific Greeks. To derive the solutions, we provide the joint distribution of the minimum value of one Brownian motion and the terminal values of all Brownian motions for correlated multidimensional Brownian motion. We then conduct a numerical analysis to examine the effects of counterparty risk on option prices.

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对具有违约风险的几种资产的最大值或最小值进行期权定价

本文提出了几种存在到期前交易对手违约风险的资产的最大值或最小值期权的分析解，包括几种特定希腊的推导。为了求解，我们提供了相关多维布朗运动的一个布朗运动最小值和所有布朗运动终值的联合分布。然后，我们进行数值分析，检验交易对手风险对期权价格的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.