Analytical pricing formulae for vulnerable vanilla and barrier options
Liang-Chih Liu, Chun-Yuan Chiu, Chuan-Ju Wang, Tian-Shyr Dai, Hao-Han Chang
| Year of publication: |
2022
|
|---|---|
| Authors: | Liu, Liang-Chih ; Chiu, Chun-Yuan ; Wang, Chuan-Ju ; Dai, Tian-Shyr ; Chang, Hao-Han |
| Subject: | Vulnerable option | Analytical pricing formula | Credit risk | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Kreditrisiko |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-021-00990-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012796126