Closed-form pricing formula for exchange option with credit risk (Q2410409)
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scientific article; zbMATH DE number 6792558
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Closed-form pricing formula for exchange option with credit risk |
scientific article; zbMATH DE number 6792558 |
Statements
Closed-form pricing formula for exchange option with credit risk (English)
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18 October 2017
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exchange option
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credit risk
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Mellin transform
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0.9399865
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0.89817166
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0.8809178
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0.87906176
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0.8710024
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0.86235785
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0.85588884
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0.8551806
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