Pricing European basket warrants with default risk under stochastic volatility models
Year of publication: |
2022
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Authors: | Wang, Xingchun |
Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 29.2022, 3, p. 253-260
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Subject: | Basket warrants | default risk | stochastic volatility | vulnerable options | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Derivat | Derivative | Optionsanleihe | Warrant bond |
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