Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes
Gechun Liang
◽
Xingchun Wang
2006 ◽
Vol 22
(4)
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pp. 661-687
◽
Tomasz R. Bielecki
◽
Monique Jeanblanc
◽
Marek Rutkowski
Meng-Lan Yueh
◽
Nick Webber
Robert J. Elliott
◽
Tak Kuen Siu
George Christodoulakis
◽
Stephen Satchel
Rubén García-Céspedes
◽
Manuel Moreno
2020 ◽
Vol 174
◽
pp. 141-149
Yuelin Wang
◽
Yihan Zhang
◽
Yan Lu
◽
Xinran Yu
Ryota Fujinuma
◽
Yumi Asahi