A closed form solution for vulnerable options with Heston's stochastic volatility (Q508190): Difference between revisions
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| Property / DOI | |||
| Property / DOI: 10.1016/j.chaos.2016.01.026 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B70 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6683325 / rank | |||
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| Property / zbMATH Keywords | |||
vulnerable option | |||
| Property / zbMATH Keywords: vulnerable option / rank | |||
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| Property / zbMATH Keywords | |||
stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
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| Property / zbMATH Keywords | |||
default risk | |||
| Property / zbMATH Keywords: default risk / rank | |||
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| Property / zbMATH Keywords | |||
Heston dynamics | |||
| Property / zbMATH Keywords: Heston dynamics / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / full work available at URL: https://doi.org/10.1016/j.chaos.2016.01.026 / rank | |||
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| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2295745097 / rank | |||
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| Property / cites work | |||
| Property / cites work: Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives / rank | |||
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| Property / cites work | |||
| Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank | |||
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| Property / cites work | |||
| Property / cites work: Q4942767 / rank | |||
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| Property / cites work | |||
| Property / cites work: COMPLEX FOURIER--BESSEL TRANSFORMS / rank | |||
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| Property / cites work | |||
| Property / cites work: Pricing vulnerable options under a stochastic volatility model / rank | |||
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| Property / DOI | |||
| Property / DOI: 10.1016/J.CHAOS.2016.01.026 / rank | |||
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| links / mardi / name | links / mardi / name | ||
Latest revision as of 19:53, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A closed form solution for vulnerable options with Heston's stochastic volatility |
scientific article |
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A closed form solution for vulnerable options with Heston's stochastic volatility (English)
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10 February 2017
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vulnerable option
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stochastic volatility
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default risk
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Heston dynamics
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