Analytical valuation of vulnerable European and Asian options in intensity-based models
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Publication:2020536
DOI10.1016/j.cam.2021.113412zbMath1461.91322OpenAlexW3125871005MaRDI QIDQ2020536
Publication date: 23 April 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2021.113412
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)
Related Items (2)
Valuing fade-in options with default risk in Heston-Nandi GARCH models ⋮ Pricing vulnerable fader options under stochastic volatility models
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