Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
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Publication:2036854
DOI10.1007/s11147-020-09167-zzbMath1467.91201arXiv2001.09443OpenAlexW3035482455MaRDI QIDQ2036854
Publication date: 30 June 2021
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2001.09443
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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