Pages that link to "Item:Q5056604"
From MaRDI portal
The following pages link to VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY (Q5056604):
Displaying 8 items.
- Explicit formula for the valuation of catastrophe put option with exponential jump and default risk (Q1676808) (← links)
- Pricing vulnerable European options under Lévy process with stochastic volatility (Q1727064) (← links)
- Pricing vulnerable options in a mixed fractional Brownian motion with jumps (Q2063466) (← links)
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model (Q2131629) (← links)
- Two frameworks for pricing defaultable derivatives (Q2213633) (← links)
- STOCHASTIC VOLATILITY MODEL WITH CORRELATED JUMP SIZES AND INDEPENDENT ARRIVALS (Q5051922) (← links)
- Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure (Q6104960) (← links)
- Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility (Q6106177) (← links)
