An analytical GARCH valuation model for spread options with default risk
Shiyu Song, Dan Tang, Guangli Xu, Xunbai Yin
| Year of publication: |
2023
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|---|---|
| Authors: | Song, Shiyu ; Tang, Dan ; Xu, Guangli ; Yin, Xunbai |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 83.2023, p. 1-20
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| Subject: | Default risk | GARCH | Spread options | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Risikoprämie | Risk premium | Optionsgeschäft | Option trading | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2022.08.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014239894