Venter, Pierre JohanMare, Eben2023-02-272023-02-272022Venter, P.J. & Mare, E. 2022, 'Pricing collateralised options in the presence of counterparty credit risk : an extension of the Heston–Nandi model', South African Statistical Journal, vol. 56, no. 1, pp. 37-51, doi : 10.37920/sasj.2022.56.1.3.0038-271X10.37920/sasj.2022.56.1.3https://repository.up.ac.za/handle/2263/89849In this paper, a closed-formexpression for a collateralised European option in the presence of counterparty credit risk and stochastic volatility is derived. The model is applied to Standard and Poor’s 500 index options. The model prices obtained are consistent with expectations.en© South African Statistical Association.CollateralCounterparty credit riskOption pricingGeneralized autoregressive conditional heteroskedasticity (GARCH)Article