Valuing fade-in options with default risk in Heston-Nandi GARCH models
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Publication:2165384
DOI10.1007/s11147-021-09179-3zbMath1495.91125OpenAlexW3167831266MaRDI QIDQ2165384
Publication date: 19 August 2022
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-021-09179-3
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)
Related Items (2)
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