Vulnerable options with regime switching and stochastic liquidity

Xin-Jiang He, Puneet Pasricha, Tuantuan Lu, Sha Lin

Year of publication:	2024
Authors:	He, Xin-Jiang ; Pasricha, Puneet ; Lu, Tuantuan ; Lin, Sha
Subject:	Analytical solution \| Counterparty risks \| Liquidity risks \| Regime switching \| Vulnerable options \| Kreditrisiko \| Credit risk \| Liquidität \| Liquidity \| Markov-Kette \| Markov chain \| Optionsgeschäft \| Option trading \| Optionspreistheorie \| Option pricing theory \| Risikomanagement \| Risk management \| Risiko \| Risk

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