A closed-form pricing formula for vulnerable european...

Chaos, Solitons & Fractals 2019 / 06 Vol. 123

A closed-form pricing formula for vulnerable european options under stochastic yield spreads and interest rates

Ma, Chaoqun, Ma, Zonggang, Xiao, Shisong
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Volume:
123
Journal:
Chaos, Solitons & Fractals
DOI:
10.1016/j.chaos.2019.03.038
Date:
June, 2019
File:
PDF, 809 KB
2019
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