Analytical valuation of vulnerable chained options
Year of publication: |
2024
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Authors: | Zhang, Jiayi ; Zhou, Ke |
Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 70.2024, Art.-No. 102069, p. 1-16
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Subject: | Barrier options | Chained options | Credit risk | Vulnerable options | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Kreditrisiko |
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