Pricing vulnerable options with stochastic volatility and stochastic interest rate
Chaoqun Ma, Shengjie Yue, Hui Wu, Yong Ma
| Year of publication: |
2020
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|---|---|
| Authors: | Ma, Chaoqun ; Yue, Shengjie ; Wu, Hui ; Ma, Yong |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 56.2020, 2, p. 391-429
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| Subject: | Vulnerable European options | Characteristic function | GARCH diffusion model | Stochastic interest rate | Fast Fourier transform | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Optionsgeschäft | Option trading | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-019-09929-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012272041