A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates (Q2213599): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Created claim: Wikidata QID (P12): Q128096709, #quickstatements; #temporary_batch_1722384924290 |
||
| Property / Wikidata QID | |||
| Property / Wikidata QID: Q128096709 / rank | |||
Normal rank | |||
Latest revision as of 08:56, 31 July 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 |
scientific article |
Statements
A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates (English)
0 references
2 December 2020
0 references
European options
0 references
derivatives
0 references
credit risk
0 references
pricing
0 references
Mellin transform
0 references
0 references
0 references
0 references
0 references
