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Closed Form Valuation of Vulnerable European Options with Stochastic Credit Spreads

Authors :
Xiao Shi-Song
Ma Zong-Gang
Source :
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. 53:293-311
Publication Year :
2019
Publisher :
Bucharest University of Economic Studies, 2019.

Subjects

Subjects :
Economics and Econometrics
Financial economics
Applied Mathematics
Economics
Computer Science Applications
Valuation (finance)

Details

ISSN :
18423264 and 0424267X
Volume :
53
Database :
OpenAIRE
Journal :
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH
Accession number :
edsair.doi...........0acda3c5005478b55a46f58d61341552
Full Text :
https://doi.org/10.24818/18423264/53.4.19.18
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