On the Pricing of Vulnerable Foreign Equity Options with Stochastic Volatility in an Intensity-Based Model
In this study, we investigate the pricing of two types of vulnerable foreign equity options using an intensity-based model. It is considered that the intensity process consists of both systematic and idiosyncratic components. In addition, we assume that the underlying asset processes follow a two-fa...
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| Auteurs principaux: | , |
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| Format: | Artigo |
| Langue: | Inglês |
| Publié: |
MDPI AG
2025-01-01
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| Collection: | Mathematics |
| Sujets: | |
| Accès en ligne: | https://www.mdpi.com/2227-7390/13/3/400 |
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