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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...
Autores principales: | Choi, Sun-Yong, Veng, Sotheara, Kim, Jeong-Hoon, Yoon, Ji-Hun |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Springer US
2021
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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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