Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate (Q6107577)
From MaRDI portal
scientific article; zbMATH DE number 7706288
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate |
scientific article; zbMATH DE number 7706288 |
Statements
Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate (English)
0 references
3 July 2023
0 references
power exchange options
0 references
default risk
0 references
stochastic volatility model
0 references
stochastic interest rate
0 references
fast Fourier transform
0 references
0 references
0 references
0 references
0 references
0 references
0 references
