Pricing vulnerable options under a stochastic volatility model
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Publication:2349261
DOI10.1016/j.aml.2014.03.007zbMath1314.91218OpenAlexW2054226113MaRDI QIDQ2349261
Jeong-Hoon Kim, Min-Ku Lee, Sung-Jin Yang
Publication date: 22 June 2015
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2014.03.007
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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- The Pricing of Options and Corporate Liabilities
- Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
- Stochastic Volatility Effects on Defaultable Bonds
- Multiname and Multiscale Default Modeling
- A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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