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Article: Pricing Vulnerable Options under a Jump-Diffusion Model with Fast Mean-Reverting Stochastic Volatility

TitlePricing Vulnerable Options under a Jump-Diffusion Model with Fast Mean-Reverting Stochastic Volatility
Authors
HE, WGu, JChing, WKWU, CWong, CW
Issue Date2022
Citation
Journal of Industrial and Management Optimization, 2022, v. 18, p. 2077-2094 How to Cite?
Persistent Identifierhttp://hdl.handle.net/10722/312729

 

DC FieldValueLanguage
dc.contributor.authorHE, W-
dc.contributor.authorGu, J-
dc.contributor.authorChing, WK-
dc.contributor.authorWU, C-
dc.contributor.authorWong, CW-
dc.date.accessioned2022-05-12T10:54:46Z-
dc.date.available2022-05-12T10:54:46Z-
dc.date.issued2022-
dc.identifier.citationJournal of Industrial and Management Optimization, 2022, v. 18, p. 2077-2094-
dc.identifier.urihttp://hdl.handle.net/10722/312729-
dc.languageeng-
dc.relation.ispartofJournal of Industrial and Management Optimization-
dc.titlePricing Vulnerable Options under a Jump-Diffusion Model with Fast Mean-Reverting Stochastic Volatility-
dc.typeArticle-
dc.identifier.emailChing, WK: wching@hku.hk-
dc.identifier.emailWong, CW: cwwongab@hku.hk-
dc.identifier.authorityChing, WK=rp00679-
dc.identifier.hkuros333069-
dc.identifier.volume18-
dc.identifier.spage2077-
dc.identifier.epage2094-

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