Narrow search
Showing 1 - 7 of 7
Cover Image
Analytical pricing of vulnerable options under a generalized jump-diffusion model
Fard, Farzad Alavi - In: Insurance / Mathematics & economics 60 (2015), pp. 19-28
Persistent link: https://www.econbiz.de/10010484842
Cover Image
Pricing European basket warrants with default risk under stochastic volatility models
Wang, Xingchun - In: Applied economics letters 29 (2022) 3, pp. 253-260
Persistent link: https://www.econbiz.de/10012803500
Cover Image
CVA and vulnerable options in Stochastic volatility models
Alòs, Elisa; Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
Cover Image
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
Cover Image
Pricing vulnerable options under correlated skew Brownian motions
Guo, Che; Wang, Xingchun - In: The journal of futures markets 42 (2022) 5, pp. 852-867
Persistent link: https://www.econbiz.de/10013187607
Cover Image
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
Cover Image
Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
Cheng, Panhong; Xu, Zhihong; Dai, Zexing - In: Mathematics and financial economics 17 (2023) 3, pp. 429-455
Persistent link: https://www.econbiz.de/10014381043