Pricing basket spread options with default risk under GARCH-jump models
Dingding Dong, Xianda Qian, Xingchun Wang
| Year of publication: |
2025
|
|---|---|
| Authors: | Dong, Dingding ; Qian, Xianda ; Wang, Xingchun |
| Subject: | basket spread options | default risk | GARCH-jump models | jump risk | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Risikoprämie | Risk premium | Optionsgeschäft | Option trading | Derivat | Derivative | Risiko | Risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22574 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015376678