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A Mellin Transform Approach to the Pricing of Options with Default Risk

The stochastic elasticity of variance model introduced by Kim et al. (Appl Stoch Models Bus Ind 30(6):753–765, 2014) is a useful model for forecasting extraordinary volatility behavior which would take place in a financial crisis and high volatility of a market could be linked to default risk of opt...

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Detalles Bibliográficos
Autores principales: Choi, Sun-Yong, Veng, Sotheara, Kim, Jeong-Hoon, Yoon, Ji-Hun
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8072734/
https://www.ncbi.nlm.nih.gov/pubmed/33935368
http://dx.doi.org/10.1007/s10614-021-10121-w

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