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New solvable stochastic volatility models for pricing volatility derivatives
Itkin, Andrey - In: Review of derivatives research 16 (2013) 2, pp. 111-134
Persistent link: https://www.econbiz.de/10009774404
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The leverage effect puzzle : the case of European sovereign credit default swap market
Kliber, Agata - In: Review of derivatives research 19 (2016) 3, pp. 217-235
Persistent link: https://www.econbiz.de/10011927969
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Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun - In: Review of derivatives research 24 (2021) 3, pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
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Valuing fade-in options with default risk in Heston-Nandi GARCH models
Wang, Xingchun - In: Review of derivatives research 25 (2022) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10013191374
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Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Liang, Gechun; Wang, Xingchun - In: Review of derivatives research 24 (2021) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10012498465