Pricing vulnerable options with stochastic volatility and stochastic interest rate
Year of publication: |
2020
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Authors: | Ma, Chaoqun ; Yue, Shengjie ; Wu, Hui ; Ma, Yong |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 56.2020, 2, p. 391-429
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Subject: | Vulnerable European options | Characteristic function | GARCH diffusion model | Stochastic interest rate | Fast Fourier transform | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Optionsgeschäft | Option trading | Zinsstruktur | Yield curve |
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