Valuation of options on the maximum of two prices with default risk under GARCH models
Xingchun Wang
| Year of publication: |
2021
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|---|---|
| Authors: | Wang, Xingchun |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 57.2021, p. 1-13
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| Subject: | Default risk | GARCH models | Options on the maximum | Stochastic correlation | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Volatilität | Volatility | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2021.101422 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012822187