Scholarlink

<p>In this paper, we investigate the pricing of vulnerable Asian options under contagion dynamics. We first model the price dynamics of the underlying asset and the counterparty’s total assets by employing Hawkes jump-diffusion processes, where jump processes exhibit both self-excitation and cross-asset contagion characteristics. After deriving the pricing formula of vulnerable Asian options, we calibrate the model parameters using real data, and investigate the effects of self-excitation and cross-asset contagions on vulnerable Asian option prices. Specially, opposite effects of the parameters in the underlying asset price and the counterparty’s asset prices are observed, and we also explain them by emphasizing the role of the risk compensation term.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Valuing vulnerable Asian options under contagion dynamics

  • 期刊论文

  • 发表日期：

    2026年2月25日

查看全文
  • Zelei Li,
  • Xingchun Wang,
  • Yiming Wang,
  • Mengjie Zhao

摘要

In this paper, we investigate the pricing of vulnerable Asian options under contagion dynamics. We first model the price dynamics of the underlying asset and the counterparty’s total assets by employing Hawkes jump-diffusion processes, where jump processes exhibit both self-excitation and cross-asset contagion characteristics. After deriving the pricing formula of vulnerable Asian options, we calibrate the model parameters using real data, and investigate the effects of self-excitation and cross-asset contagions on vulnerable Asian option prices. Specially, opposite effects of the parameters in the underlying asset price and the counterparty’s asset prices are observed, and we also explain them by emphasizing the role of the risk compensation term.