Valuing options with hybrid default risk under the stochastic volatility model
Ana Yun, Geonwoo Kim
| Year of publication: |
2025
|
|---|---|
| Authors: | Yun, Ana ; Kim, Geonwoo |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 72.2025, Art.-No. 106521, p. 1-11
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| Subject: | Characteristic function | Default risk | Hybrid model | Stochastic volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Derivat | Derivative |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.106521 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015207074