A closed form solution for vulnerable options with Heston's stochastic volatility (Q508190)
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scientific article; zbMATH DE number 6683325
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| English | A closed form solution for vulnerable options with Heston's stochastic volatility |
scientific article; zbMATH DE number 6683325 |
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A closed form solution for vulnerable options with Heston's stochastic volatility (English)
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10 February 2017
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vulnerable option
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stochastic volatility
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default risk
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Heston dynamics
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0.8333234190940857
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0.8277910351753235
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0.8226117491722107
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0.813676655292511
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