Pages that link to "Item:Q3375386"
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The following pages link to Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension (Q3375386):
Displaying 17 items.
- Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options (Q315043) (← links)
- Pricing vulnerable European options under Lévy process with stochastic volatility (Q1727064) (← 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)
- Pricing vulnerable options with jump risk and liquidity risk (Q2059298) (← links)
- Pricing vulnerable options in a mixed fractional Brownian motion with jumps (Q2063466) (← links)
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model (Q2131629) (← links)
- Closed form valuation of barrier options with stochastic barriers (Q2151659) (← links)
- Optimal feedback control of stock prices under credit risk dynamics (Q2151675) (← links)
- Valuing fade-in options with default risk in Heston-Nandi GARCH models (Q2165384) (← links)
- Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods (Q2165386) (← links)
- Closed-form pricing formula for foreign equity option with credit risk (Q2167080) (← links)
- Pricing vulnerable fader options under stochastic volatility models (Q2691481) (← links)
- A comprehensive structural model for defaultable fixed-income bonds (Q3005364) (← links)
- PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION (Q4628409) (← links)
- Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment (Q6051343) (← links)
- Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk (Q6161979) (← links)
