Pricing European basket warrants with default risk under stochastic volatility models

Xingchun Wang ()

Applied Economics Letters, 2022, vol. 29, issue 3, 253-260

Abstract: In this paper, we consider basket warrants with default risk in a stochastic volatility model, where the correlation between the underlying assets is stochastic. In addition, we take into account default risk of warrant issuers, and use a reduced form model to capture default risk. In the proposed framework, a closed-form approximation is provided and the effect of default risk is investigated numerically.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2020.1862745 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:29:y:2022:i:3:p:253-260

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2020.1862745

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().