Pages that link to "Item:Q2260941"
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The following pages link to Analytical pricing of vulnerable options under a generalized jump-diffusion model (Q2260941):
Displaying 21 items.
- The pricing of dynamic fund protection with default risk (Q679581) (← links)
- Pricing and hedging vulnerable option with funding costs and collateral (Q1663930) (← links)
- Explicit formula for the valuation of catastrophe put option with exponential jump and default risk (Q1676808) (← links)
- Analytical valuation of vulnerable European and Asian options in intensity-based models (Q2020536) (← links)
- Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes (Q2036854) (← links)
- Approximate value adjustments for European claims (Q2116937) (← links)
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model (Q2131629) (← links)
- Pricing vulnerable options with stochastic volatility (Q2147889) (← links)
- Valuing fade-in options with default risk in Heston-Nandi GARCH models (Q2165384) (← links)
- CVA and vulnerable options pricing by correlation expansions (Q2241073) (← links)
- Valuation and risk assessment of participating life insurance in the presence of credit risk (Q2374130) (← links)
- The European vulnerable option pricing with jumps based on a mixed model (Q2398560) (← links)
- Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales (Q2423287) (← links)
- CVA in fractional and rough volatility models (Q2700343) (← links)
- CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS (Q4994443) (← links)
- Quanto option pricing with a jump diffusion process (Q5082959) (← links)
- (Q5083072) (← links)
- A CLOSED-FORM GARCH VALUATION MODEL FOR POWER EXCHANGE OPTIONS WITH COUNTERPARTY RISK (Q5111486) (← links)
- Exchange option pricing in jump-diffusion models based on esscher transform (Q5154104) (← links)
- (Q5164939) (← links)
- ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK (Q5358107) (← links)
