Vulnerable options with regime switching and stochastic liquidity
Xin-Jiang He, Puneet Pasricha, Tuantuan Lu, Sha Lin
| Year of publication: |
2024
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| Authors: | He, Xin-Jiang ; Pasricha, Puneet ; Lu, Tuantuan ; Lin, Sha |
| Published in: |
The quarterly review of economics and finance. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9769, ZDB-ID 2002261-X. - Vol. 98.2024, Art.-No. 101930, p. 1-11
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2024.101930 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015188648