A closed form solution for vulnerable options with Heston's stochastic volatility (Q508190): Difference between revisions
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| Property / cites work: Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives / rank | |||
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| 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: Q4942767 / rank | |||
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| Property / cites work: COMPLEX FOURIER--BESSEL TRANSFORMS / rank | |||
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| Property / cites work: Pricing vulnerable options under a stochastic volatility model / rank | |||
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Revision as of 10:43, 13 July 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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