Analytical pricing formulae for vulnerable vanilla and barrier options
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Business, Management and Accounting,Accounting
Link
https://link.springer.com/content/pdf/10.1007/s11156-021-00990-5.pdf
Reference34 articles.
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4. Fard FA (2015) Analytical pricing of vulnerable options under a generalized jump-diffusion model. Insur Math Econ 60:19–28
5. Haworth H, Reisinger C, Shaw W (2008) Modelling bonds and credit default swaps using a structural model with contagion. Quant Finance 8(7):669–680
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