A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
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Publication:2213599
DOI10.1016/j.chaos.2019.03.038zbMath1448.91300OpenAlexW2933261332WikidataQ128096709 ScholiaQ128096709MaRDI QIDQ2213599
Shisong Xiao, Zonggang Ma, Chao-Qun Ma
Publication date: 2 December 2020
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2019.03.038
Related Items (5)
Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield ⋮ An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model ⋮ Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment ⋮ Variational inequality arising from variable annuity with mean reversion environment ⋮ Pricing vulnerable options in a mixed fractional Brownian motion with jumps
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