Pricing vulnerable options with jump risk and liquidity risk (Q2059298)
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scientific article; zbMATH DE number 7444114
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing vulnerable options with jump risk and liquidity risk |
scientific article; zbMATH DE number 7444114 |
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Pricing vulnerable options with jump risk and liquidity risk (English)
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13 December 2021
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vulnerable options
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liquidity risk
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liquidity discount factor
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counterparty default risk
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jump-diffusion processes
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