A closed form solution for vulnerable options with Heston's stochastic volatility
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Cites work
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- COMPLEX FOURIER--BESSEL TRANSFORMS
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- Pricing vulnerable options under a stochastic volatility model
Cited in
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- Analytic solutions for variance swaps with double-mean-reverting volatility
- Pricing vulnerable lookback options using Laplace transforms
- Pricing collateralised options in the presence of counterparty credit risk: an extension of the Heston-Nandi model
- Pricing vulnerable European options under Lévy process with stochastic volatility
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
- VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
- Analytical valuation of vulnerable European and Asian options in intensity-based models
- Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
- CVA and vulnerable options in stochastic volatility models
- Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
- Pricing vulnerable fader options under stochastic volatility models
- Closed-form convexity and cross-convexity adjustments for Heston prices
- Two frameworks for pricing defaultable derivatives
- Pricing and hedging vulnerable option with funding costs and collateral
- Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate
- Closed-form pricing formula for foreign equity option with credit risk
- Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
- The pricing of vulnerable options with double Mellin transforms
- Pricing vulnerable options with jump risk and liquidity risk
- Pricing vulnerable options in a mixed fractional Brownian motion with jumps
- Pricing vulnerable American put options under jump-diffusion processes
- The European vulnerable option pricing with jumps based on a mixed model
- Pricing vulnerable options under jump diffusion processes using double Mellin transform
- Pricing of timer volatility-barrier options under Heston's stochastic volatility model
- Closed-form pricing formula for exchange option with credit risk
- Heston-GA hybrid option pricing model based on ResNet50
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