Explicit pricing formulas for European option with asset exposed to double defaults risk
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Publication:1727278
DOI10.1155/2018/8362912zbMath1422.91701OpenAlexW2811418848MaRDI QIDQ1727278
Publication date: 20 February 2019
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2018/8362912
Related Items (2)
Option pricing for path-dependent options with assets exposed to multiple defaults risk ⋮ Proactive hedging European call option pricing with linear position strategy
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- Pricing formula for exotic options with assets exposed to counterparty risk
- On Models of Default Risk
- Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
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