A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates (Q2213599): Difference between revisions
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Revision as of 03:06, 29 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates |
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A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates (English)
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2 December 2020
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European options
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derivatives
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credit risk
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pricing
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Mellin transform
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