Pricing vulnerable options with stochastic volatility

Guanying Wang; Xingchun Wang; Ke Zhou

doi:10.1016/j.physa.2017.04.146

Pricing vulnerable options with stochastic volatility

Guanying Wang(Tianjin University), Xingchun Wang(University of International Business and Economics), Ke Zhou(University of International Business and Economics)

Physica A Statistical Mechanics and its Applications

April 28, 2017

10.1016/j.physa.2017.04.146

Cited by 64

Abstract

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