A closed form solution for vulnerable options with Heston's stochastic volatility
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Publication:508190
DOI10.1016/j.chaos.2016.01.026zbMath1386.91143OpenAlexW2295745097MaRDI QIDQ508190
Jeong-Hoon Kim, Sung-Jin Yang, Min-Ku Lee
Publication date: 10 February 2017
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2016.01.026
Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
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