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So, this paper studies the pricing of defaultable options under a multiscale generalized Heston's stochastic volatility model introduced by Fouque and Lorig ( ...
... Wang et al. [30] investigated the pricing of vulnerable option under a stochastic volatility which has the shortterm fluctuation with a mean-reverting ...
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So, this paper studies the pricing of defaultable options under a multiscale generalized Hestons stochastic volatility model introduced by Fouque and Lorig ( ...
Pricing of defaultable options with multiscale generalized Heston's stochastic volatility. Min Ku Lee. ,. Jeong Hoon Kim. Help me understand this report.
Feb 1, 2018 · We derive an explicit solution formula for the defaultable option price and investigate the characteristics of the resultant price in comparison ...
We conclude that STS is a powerful tool for the numerical pricing of options and propose them as the method-of-choice for exotic financial instruments in two ...
Missing: defaultable multiscale generalized
Aug 30, 2023 · Specifically, we introduce the model for the vulnerable exchange option with a stochastic volatility model and derive an analytical pricing ...
We propose a multiscale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility ...
This paper focuses on deriving and testing option pricing formulas for the Heston model. [3], which describes the asset's volatility as a stochastic process.
Missing: defaultable multiscale
Nov 20, 2020 · This work generalizes existing one- and two-dimensional pricing formulas with an equal number of barriers to a setting of n dimensions and ...
Missing: multiscale | Show results with:multiscale