Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk

Author:

Kim Donghyun,Yoon Ji-Hun

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,General Engineering

Reference30 articles.

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4. Conze, A.: Viswanathan: path dependent options: the case of lookback option. J. Finance 46, 1893–1907 (1991)

5. Dai, T.-S., Chiu, C.-Y.: Vulnerable option pricing: the dual problem. In: The 19th Conference on the Theories and Practices of Securities and Financial Market. December 9–10. National Sun Yat-sen University, Kaohsiung, Taiwan (2011)

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