Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model (Q6547039)
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scientific article; zbMATH DE number 7856444
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model |
scientific article; zbMATH DE number 7856444 |
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Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model (English)
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30 May 2024
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fractional Hull-White-Vasicek model
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bull spread option
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double Mellin transform
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