Valuing fade-in options with default risk in Heston-Nandi GARCH models (Q2165384): Difference between revisions

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-.1007/s11147-021-09179-3
@@ Property / DOI: 10.1007/s11147-021-09179-3 / rank @@
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@@ Property / cites work @@
+CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS
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+CVA and vulnerable options pricing by correlation expansions
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+Generalized autoregressive conditional heteroscedasticity
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+ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
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+COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
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+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
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+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
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+On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
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+Q4124106
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+The credit risk and pricing of OTC options
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+Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
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+Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
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+Pricing vulnerable power exchange options in an intensity based framework
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+ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK
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+PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION
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+Analytical valuation of vulnerable European and Asian options in intensity-based models
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+Pricing vulnerable options under a stochastic volatility model
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@@ Property / DOI @@
+.1007/S11147-021-09179-3
@@ Property / DOI: 10.1007/S11147-021-09179-3 / rank @@
+Normal rank