Pricing collateralised options in the presence of counterparty credit risk: An extension of the Heston–Nandi model (Q5070711)
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scientific article; zbMATH DE number 7507257
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing collateralised options in the presence of counterparty credit risk: An extension of the Heston–Nandi model |
scientific article; zbMATH DE number 7507257 |
Statements
Pricing collateralised options in the presence of counterparty credit risk: An extension of the Heston–Nandi model (English)
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14 April 2022
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collateral
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counterparty credit risk
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GARCH
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option pricing
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