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Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes

Published Online: 2020-06-10

Published Print: 2021-04

Authors

Liang, Gechun

Wang, Xingchun https://orcid.org/0000-0002-0649-7172
Funding

Funding for this research was provided by:

National Natural Science Foundation of China (11701084)

National Natural Science Foundation of China (11671084)

University of International Business and Economics (17YQ01)
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Text and Data Mining valid from 2020-06-10

Version of Record valid from 2020-06-10
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Article History

First Online: 10 June 2020

Document is current