A closed form solution for vulnerable options with Heston's stochastic volatility
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- COMPLEX FOURIER--BESSEL TRANSFORMS
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- Pricing vulnerable options under a stochastic volatility model
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- Analytic solutions for variance swaps with double-mean-reverting volatility
- Analytical valuation of vulnerable European and Asian options in intensity-based models
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- Heston-GA hybrid option pricing model based on ResNet50
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
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- Two frameworks for pricing defaultable derivatives
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- Closed-form pricing formula for exchange option with credit risk
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- VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
- Pricing collateralised options in the presence of counterparty credit risk: an extension of the Heston-Nandi model
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- Pricing vulnerable lookback options using Laplace transforms
- Pricing of timer volatility-barrier options under Heston's stochastic volatility model
- Pricing vulnerable extremum options in a Markov regime-switching Heston's model and stochastic interest rate
- Valuation of vulnerable options using a bivariate Gram-Charlier approximation
- Pricing foreign equity options under a regime-switching model with liquidity risk and default risk
- Pricing vulnerable reset options under stochastic volatility jump diffusion model using 3-D FFT
- Valuation of vulnerable European options with market liquidity risk
- Strategic capacity investment with stochastic volatility in a duopoly market
- Some bivariate options pricing in a regime-switching stochastic volatility jump-diffusion model with stochastic intensity, stochastic interest and dependent jump
- A closed-form solution for pricing European-style options under the Heston model with credit and liquidity risks
- Valuation of options subject to default risk under a mixed fractional and multiscale stochastic volatility model
- Pricing one-cliquet option under jump diffusion model with stochastic volatility and stochastic intensity
- Pricing vulnerable options under a Markov modulated jump-diffusion model with stochastic volatility and stochastic jump intensity
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