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Vulnerable European and American options in a hazard-process model

Libo Li et al.

Finance and Stochastics2026https://doi.org/10.1007/s00780-026-00590-yarticle
AJG 3ABDC A
Weight
0.50

Abstract

Vulnerable options of European and American style with a possible occurrence of an exogenous termination are studied under market incompleteness in a hazard-process setup. It is proved that the reduced upper price of a vulnerable European option coincides with the unique price of an American option with a properly defined payoff and holder’s exercise times constrained to the random set given by the right support of the hazard process. For a vulnerable American option , it is shown that the reduced upper price equals the price of a specific American option with unrestricted exercise times, whereas the reduced lower price coincides with the price of a particular game option in which the issuer’s exercise times are constrained to the above-mentioned random set.

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https://doi.org/https://doi.org/10.1007/s00780-026-00590-y

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@article{libo2026,
  title        = {{Vulnerable European and American options in a hazard-process model}},
  author       = {Libo Li et al.},
  journal      = {Finance and Stochastics},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1007/s00780-026-00590-y},
}

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0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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