Pricing basket spread options with default risk under Heston–Nandi GARCH models
Author:
Funder
National Natural Science Foundation of China
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference35 articles.
1. Analytic approximations for multi-asset option pricing;Alexander;Mathematical Finance,2012
2. Cva and vulnerable options in stochastic volatility models;Alòs;International Journal of Theoretical and Applied Finance,2021
3. On the computation of hedging strategies in affine GARCH models;Augustyniak;Journal of Futures Markets,2021
4. Lattice based hedging schemes under GARCH models;Augustyniak;Quantitative Finance,2021
5. Quadratic hedging schemes for non-Gaussian GARCH models;Badescu;Journal of Economic Dynamics and Control,2014
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