Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes (Q2036854): Difference between revisions

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+CVA and vulnerable options pricing by correlation expansions
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+Analytical pricing of vulnerable options under a generalized jump-diffusion model
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+An empirical comparison of GARCH option pricing models
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+Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options
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+Q4124106
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+A closed form solution for vulnerable options with Heston's stochastic volatility
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+The credit risk and pricing of OTC options
@@ Property / cites work: The credit risk and pricing of OTC options / rank @@
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+Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
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+The valuation and behavior of Black-Scholes options subject to intertemporal default risk
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+Pricing vulnerable options with stochastic volatility
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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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+Pricing vulnerable options under a stochastic volatility model
+Normal rank
@@ Property / DOI @@
+.1007/S11147-020-09167-Z
@@ Property / DOI: 10.1007/S11147-020-09167-Z / rank @@
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+Publication:2036854