Pricing Vulnerable Options with Constant Elasticity of Variance versus Stochastic Elasticity of Variance
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Keywords
Vulnerable option; Default risk; Stochastic elasticity of variance; Ornstein-Uhlenbeck process; Monte-Carlo simulation.;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
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