Valuing fade-in options with default risk in Heston-Nandi GARCH models
Year of publication: |
2022
|
---|---|
Authors: | Wang, Xingchun |
Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 25.2022, 1, p. 1-22
|
Subject: | Default risk | Fade-in options | GARCH processes | Reduced form models | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Volatilität | Volatility | Insolvenz | Insolvency |
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