Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes (Q2036854)
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scientific article; zbMATH DE number 7365077
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| English | Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes |
scientific article; zbMATH DE number 7365077 |
Statements
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes (English)
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30 June 2021
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vulnerable options
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hybrid credit risk model
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Heston-Nandi GARCH model
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closed form formula
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0.8391074538230896
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0.8374423384666443
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0.8277910351753235
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0.8268375992774963
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0.8098734617233276
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