Pricing vulnerable basket spread options with liquidity risk
Ziming Dong, Dan Tang, Xingchun Wang
| Year of publication: |
2023
|
|---|---|
| Authors: | Dong, Ziming ; Tang, Dan ; Wang, Xingchun |
| Subject: | Default risk | Stochastic liquidity risk | Vulnerable basket options | Vulnerable basket spread options | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Optionsgeschäft | Option trading | Risiko | Risk | Risikoprämie | Risk premium | Liquidität | Liquidity |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-022-09192-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014266355