scientific article; zbMATH DE number 7546025

DOI10.7858/EAMJ.2021.034zbMath1489.91260MaRDI QIDQ5083071

No author found.

Publication date: 21 June 2022

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

option pricingasymptotic analysiscredit riskconstant elasticity of variancepower optionvulnerable option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing vulnerable path-dependent options using integral transforms
• The pricing of vulnerable options with double Mellin transforms
• Asymptotic option pricing under the CEV diffusion
• Pricing and hedging power options
• Valuation of power option for uncertain financial market
• Pricing of vulnerable options under hybrid stochastic and local volatility
• Pricing vulnerable options under a stochastic volatility model
• Stochastic differential equations. An introduction with applications.

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