Pricing of defaultable options with multiscale generalized Heston's stochastic volatility (Q1996984)
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scientific article; zbMATH DE number 7316157
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of defaultable options with multiscale generalized Heston's stochastic volatility |
scientific article; zbMATH DE number 7316157 |
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Pricing of defaultable options with multiscale generalized Heston's stochastic volatility (English)
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1 March 2021
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default risk
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option pricing
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stochastic volatility
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Heston model
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multiscale
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