A Mellin transform approach to the pricing of options with default risk
Sun-Yong Choi, Sotheara Veng, Jeong-Hoon Kim, Ji-Hun Yoon
| Year of publication: |
2022
|
|---|---|
| Authors: | Choi, Sun-Yong ; Sotheara Veng ; Kim, Jeong-Hoon ; Yoon, Ji-Hun |
| Subject: | Mellin transform | Stochastic elasticity of variance | Option | Default risk | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Derivat | Derivative |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-021-10121-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013169229