An analytical GARCH valuation model for spread options with default risk
Year of publication: |
2023
|
---|---|
Authors: | Song, Shiyu ; Tang, Dan ; Xu, Guangli ; Yin, Xunbai |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 83.2023, p. 1-20
|
Subject: | Default risk | GARCH | Spread options | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Optionsgeschäft | Option trading | Risikoprämie | Risk premium |
-
Estimating volatility clustering and variance risk premium effects on bank default indicators
Kenç, Turalay, (2021)
-
Pricing basket spread options with default risk under Heston-Nandi GARCH models
Wang, Xingchun, (2022)
-
Valuing spread options with counterparty risk and jump risk
Li, Zelei, (2020)
- More ...
-
The valuation of options on foreign exchange rate in a target zone
Xu, Guangli, (2016)
-
On the probability of default in a market with price clustering and jump risk
Song, Shiyu, (2020)
-
First hitting times for doubly skewed Ornstein–Uhlenbeck processes
Song, Shiyu, (2015)
- More ...