A closed form solution for vulnerable options with Heston's stochastic volatility (Q508190): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91B70 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6683325 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
vulnerable option | |||
| Property / zbMATH Keywords: vulnerable option / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
default risk | |||
| Property / zbMATH Keywords: default risk / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
Heston dynamics | |||
| Property / zbMATH Keywords: Heston dynamics / rank | |||
Normal rank | |||
Revision as of 02:07, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A closed form solution for vulnerable options with Heston's stochastic volatility |
scientific article |
Statements
A closed form solution for vulnerable options with Heston's stochastic volatility (English)
0 references
10 February 2017
0 references
vulnerable option
0 references
stochastic volatility
0 references
default risk
0 references
Heston dynamics
0 references
