RANDOM TIME FORWARD-STARTING OPTIONS
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Publication:2953302
DOI10.1142/S0219024916500503zbMath1396.91712arXiv1504.03552OpenAlexW3121777978MaRDI QIDQ2953302
Alessandro Ramponi, Sergio Scarlatti, Fabio Antonelli
Publication date: 4 January 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1504.03552
Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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CVA and vulnerable options pricing by correlation expansions, CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS
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