Loading...
A Mellin Transform Approach to the Pricing of Options with Default Risk
The stochastic elasticity of variance model introduced by Kim et al. (Appl Stoch Models Bus Ind 30(6):753–765, 2014) is a useful model for forecasting extraordinary volatility behavior which would take place in a financial crisis and high volatility of a market could be linked to default risk of opt...
Na minha lista:
| Udgivet i: | Comput Econ |
|---|---|
| Main Authors: | , , , |
| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
Springer US
2021
|
| Fag: | |
| Online adgang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC8072734/ https://ncbi.nlm.nih.gov/pubmed/33935368 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1007/s10614-021-10121-w |
| Tags: |
Tilføj Tag
Ingen Tags, Vær først til at tagge denne postø!
|