Pricing Vulnerable Options Using Conditional Expectation Transform Methods
In this study, a conditional expectation transform (CET) method was developed for solving high-dimensional systems arising in vulnerable options pricing. The CET was formulated to recast the pricing of vulnerable options into that of exchange-traded options under special terminal condition. Then, tr...
| Published in: | Discrete Dynamics in Nature and Society |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2024-01-01
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| Online Access: | http://dx.doi.org/10.1155/2024/9626168 |