Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk (Q6161979)
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scientific article; zbMATH DE number 7703458
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| English | Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk |
scientific article; zbMATH DE number 7703458 |
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Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk (English)
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28 June 2023
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early counterparty default risk
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vulnerable path-dependent option
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method of double images
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double Mellin transform
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Monte Carlo method
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0.8831980228424072
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0.8097749352455139
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0.7913811802864075
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0.7835237383842468
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