SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Pricing of vulnerable options under hybrid stochastic and local volatility · Study

ArticleShelves

ArticlePricing of vulnerable options under hybrid stochastic and local volatility

Donghyun Kim2021

Article2021

Pricing of vulnerable options under hybrid stochastic and local volatility

Donghyun Kim · Sun‐Yong Choi · Ji-Hun Yoon

23 citations·0/0 files stored·Chaos Solitons & Fractals

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Risk and Volatility Modeling Fuzzy Systems and Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 23 citations exist upstream.

References

1987The Pricing of Options with Default Risk 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 1982Further Results on the Constant Elasticity of Variance Call Option Pricing Model 1996Pricing Black-Scholes options with correlated credit risk 2003Singular Perturbations in Option Pricing 2000MEAN-REVERTING STOCHASTIC VOLATILITY 2008Modeling Commodity Prices under the CEV Model 2014Pricing vulnerable options under a stochastic volatility model

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2018VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITYarticle · 5 shared references 2015On the stochastic elasticity of variance diffusionsarticle · 5 shared references 2017Pricing vulnerable options with stochastic volatilityarticle · 4 shared references 2016A closed form solution for vulnerable options with Heston’s stochastic volatilityarticle · 4 shared references 2016Valuing vulnerable geometric Asian optionsarticle · 4 shared references 2013Option pricing under hybrid stochastic and local volatilityarticle · 4 shared references

Details

Year2021

Typearticle

Published2021-04-02

VenueChaos Solitons & Fractals

ISSN-L0960-0779

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.chaos.2021.110846

openalex_workW3143045873

Links

Imported from OpenAlex (CC0) — nothing here is generated.