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Valuation of options on the maximum of two prices with default risk under GARCH models
Wang, Xingchun - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012822187
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Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models
Arellano, Miguel Ataurima; Perez Rodriguez, Gabriel - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012654810
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Pricing basket spread options with default risk under Heston-Nandi GARCH models
Wang, Xingchun; Zhang, Han - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013413519