Valuing basket-spread options with default risk under Hawkes jump-diffusion processes
Zelei Li, Dan Tang and Xingchun Wang
| Year of publication: |
2023
|
|---|---|
| Authors: | Li, Zelei ; Tang, Dan ; Wang, Xingchun |
| Subject: | Basket-spread options | default risk | Hawkes process | jump clustering | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionsgeschäft | Option trading | Risiko | Risk | Risikoprämie | Risk premium |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2022.2129404 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014323018