Analytical pricing formulae for vulnerable vanilla and barrier options
Year of publication: |
2022
|
---|---|
Authors: | Liu, Liang-Chih ; Chiu, Chun-Yuan ; Wang, Chuan-Ju ; Dai, Tian-Shyr ; Chang, Hao-Han |
Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 58.2022, 1, p. 137-170
|
Subject: | Vulnerable option | Analytical pricing formula | Credit risk | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Kreditrisiko |
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