Vega of vulnerable option
Posted: December 26th, 2004, 8:41 pm
Hi,I'm trying to derive the partial derivative (vega) of vulnerable call and put options with respect to the volatility of the underlying asset. (e.g. Klein (1996) "Pricing Black - Scholes options with credit risk" Journal of Banking and Finance.) This is quite difficult because of the bivariate normal distribution in the pricing formula. Any suggestions or referrences welcome.RedSniper