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Article: Pricing Vulnerable Options under a Jump-Diffusion Model with Fast Mean-Reverting Stochastic Volatility
Title | Pricing Vulnerable Options under a Jump-Diffusion Model with Fast Mean-Reverting Stochastic Volatility |
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Authors | |
Issue Date | 2022 |
Citation | Journal of Industrial and Management Optimization, 2022, v. 18, p. 2077-2094 How to Cite? |
Persistent Identifier | http://hdl.handle.net/10722/312729 |
DC Field | Value | Language |
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dc.contributor.author | HE, W | - |
dc.contributor.author | Gu, J | - |
dc.contributor.author | Ching, WK | - |
dc.contributor.author | WU, C | - |
dc.contributor.author | Wong, CW | - |
dc.date.accessioned | 2022-05-12T10:54:46Z | - |
dc.date.available | 2022-05-12T10:54:46Z | - |
dc.date.issued | 2022 | - |
dc.identifier.citation | Journal of Industrial and Management Optimization, 2022, v. 18, p. 2077-2094 | - |
dc.identifier.uri | http://hdl.handle.net/10722/312729 | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Industrial and Management Optimization | - |
dc.title | Pricing Vulnerable Options under a Jump-Diffusion Model with Fast Mean-Reverting Stochastic Volatility | - |
dc.type | Article | - |
dc.identifier.email | Ching, WK: wching@hku.hk | - |
dc.identifier.email | Wong, CW: cwwongab@hku.hk | - |
dc.identifier.authority | Ching, WK=rp00679 | - |
dc.identifier.hkuros | 333069 | - |
dc.identifier.volume | 18 | - |
dc.identifier.spage | 2077 | - |
dc.identifier.epage | 2094 | - |