Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
Author:
Funder
National Research Foundation of Korea
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Analysis
Link
https://link.springer.com/content/pdf/10.1007/s13540-023-00233-5.pdf
Reference35 articles.
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3. Hung, M.W., Liu, Y.H.: Pricing vulnerable options in incomplete markets. Journal of Futures Markets: Futures, Options, and Other Derivative Products 25(2), 135–170 (2005)
4. Choi, S.Y., Yoon, J.H., Jeon, J.: Pricing of fixed-strike lookback options on assets with default risk. Mathematical Problems in Engineering 2019 (2019)
5. Jeon, J., Yoon, J.H., Kang, M.: Valuing vulnerable geometric Asian options. Computers & Mathematics with Applications 71(2), 676–691 (2016)
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