A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates (Q2213599)
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scientific article; zbMATH DE number 7281161
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| English | A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates |
scientific article; zbMATH DE number 7281161 |
Statements
A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates (English)
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2 December 2020
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European options
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derivatives
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credit risk
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pricing
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Mellin transform
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0.8330000042915344
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0.8288335800170898
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0.8202362060546875
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0.8128196001052856
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0.8090710639953613
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