A CLOSED-FORM GARCH VALUATION MODEL FOR POWER EXCHANGE OPTIONS WITH COUNTERPARTY RISK (Q5111486): Difference between revisions

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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Stochastic portfolio optimization with default risk
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+Generalized autoregressive conditional heteroscedasticity
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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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+THE GARCH OPTION PRICING MODEL
@@ Property / cites work: THE GARCH OPTION PRICING MODEL / rank @@
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+Analytical pricing of vulnerable options under a generalized jump-diffusion model
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+Q4002114
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+Q4124106
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+PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION
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+The pricing of vulnerable options with double Mellin transforms
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+https://doi.org/10.1017/s0269964818000530
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+W2911775485
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