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Credit Default Swap Valuation with Counterparty Risk
Counterparty risk contagious defaults intensity model credit default swap
2010/12/7
Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the pr...
Pricing Path-Dependent Options with Jump Risk via Laplace Transforms
jump diffusion American options barrier and lookback options
2010/12/7
We present analytical solutions for two-dimensional Laplace transforms of barrier option prices, as well as an approximation based on Laplace transforms for the prices of finite-time horizon American ...
Environmental Tax, Trade, and Privatization
environmental tax privatization tariff mixed oligopoly
2010/12/7
The analysis presented in this paper explores the interaction among privatization, environmental, and trade policies. In particular, we consider the optimal environmental tax and tariff, and the effec...