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Variance swaps with double exp...
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Derivat
Option pricing theory
12
Optionspreistheorie
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Stochastic process
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Stochastischer Prozess
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Volatility
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Volatilität
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Variance swap
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Derivative
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4/2 stochastic volatility
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Credit risk
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Default risk
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Delay
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Kim, Jeong-Hoon
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Cao, Jiling
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Choi, Sun-Yong
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Huh, Jeonggyu
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Liu, Wenqiang
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Sotheara Veng
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ECONIS (ZBW)
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A Mellin transform approach to the pricing of options with default risk
Choi, Sun-Yong
;
Sotheara Veng
;
Kim, Jeong-Hoon
;
Yoon, Ji-Hun
- In:
Computational economics
59
(
2022
)
3
,
pp. 1113-1134
Persistent link: https://www.econbiz.de/10013169229
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2
A scaled version of the double-mean-reverting model for VIX derivatives
Huh, Jeonggyu
;
Jeon, Jaegi
;
Kim, Jeong-Hoon
- In:
Mathematics and financial economics
12
(
2018
)
4
,
pp. 495-515
Persistent link: https://www.econbiz.de/10011963875
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3
Rescaling the double-mean-reverting 4/2 stochastic volatility model for derivative pricing
Cao, Jiling
;
Kim, Jeong-Hoon
;
Liu, Wenqiang
;
Zhang, WenJun
- In:
Finance research letters
58
(
2023
)
2
,
pp. 1-8
Persistent link: https://www.econbiz.de/10014583526
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