A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
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Publication:2213599
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Cites work
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Cited in
(18)- A note on ``A closed-form pricing formula for European options under the Heston model with stochastic interest rate
- Pricing vulnerable options in a mixed fractional Brownian motion with jumps
- 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
- Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
- The pricing of vulnerable options with double Mellin transforms
- A closed-form approximation formula for pricing European options under a three-factor model
- A closed form solution for vulnerable options with Heston's stochastic volatility
- The martingale approach for vulnerable binary option pricing under stochastic interest rate
- A closed-form approximation for valuing European basket warrants under credit risk and interest rate risk
- Pricing vulnerable European options with stochastic default barriers
- Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
- 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
- Closed-form solutions for pricing credit-risky bonds and bond options
- Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model
- Pricing of the vulnerable exchange option under the mixed fractional Brownian motion environment
- Pricing of vulnerable option under affine stochastic volatility with simultaneous jumps model
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