Pricing of defaultable options with multiscale generalized Heston's stochastic volatility
type: Item
instance of: scholarly article
title: Pricing of defaultable options with multiscale generalized Heston's stochastic volatility
zbMATH Open document ID: 1483.91234
author: Min-Ku Lee
author: Jeong-Hoon Kim
published in: Mathematics and Computers in Simulation
publication date: 2021-03-01T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G45
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 7316157
zbMATH Keywords: default risk
zbMATH Keywords: option pricing
zbMATH Keywords: stochastic volatility
zbMATH Keywords: Heston model
zbMATH Keywords: multiscale
MaRDI profile type: Publication
full work available at URL: j.matcom.2017.08.005
OpenAlex ID: W2752712227
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cites work: A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
cites work: Pricing vulnerable options under a stochastic volatility model
DOI: 10.1016/J.MATCOM.2017.08.005
description: scientific article; zbMATH DE number 7316157