Valuing fade-in options with default risk in Heston-Nandi GARCH models (Q2165384)
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scientific article; zbMATH DE number 7573533
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| English | Valuing fade-in options with default risk in Heston-Nandi GARCH models |
scientific article; zbMATH DE number 7573533 |
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Valuing fade-in options with default risk in Heston-Nandi GARCH models (English)
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19 August 2022
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fade-in options
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default risk
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GARCH processes
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reduced form models
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0.7973938584327698
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0.75967937707901
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0.7446788549423218
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0.7443097233772278
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