Closed-form pricing formula for foreign equity option with credit risk (Q2167080)
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scientific article; zbMATH DE number 7575357
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Closed-form pricing formula for foreign equity option with credit risk |
scientific article; zbMATH DE number 7575357 |
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Closed-form pricing formula for foreign equity option with credit risk (English)
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25 August 2022
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foreign equity option
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Mellin transforms
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credit risk
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structural model
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0.9399865
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0.8737859
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0.86526465
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0.85663193
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0.85485023
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0.8544261
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0.8521444
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0.8433982
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