Pricing vulnerable options with stochastic volatility
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Publication:2147889
DOI10.1016/j.physa.2017.04.146zbMath1497.91313OpenAlexW2609032503MaRDI QIDQ2147889
Guanying Wang, Ke Zhou, Xingchun Wang
Publication date: 20 June 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2017.04.146
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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