Pricing vulnerable options under correlated skew Brownian motions
Year of publication: |
2022
|
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Authors: | Guo, Che ; Wang, Xingchun |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 5, p. 852-867
|
Subject: | default risk | endogenous risk | exogenous risk | skew Brownian motions | vulnerable options | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Kreditrisiko | Credit risk |
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