Xingchun Wang

University of International Business and Economics (UIBE) - School of International Trade and Economics

10 East Huixin Street

Chaouang District

Beijing, 100029

China

  • University of International Business and Economics (UIBE) - School of International Trade and Economics

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Pricing Vulnerable Spread Options under an Intensity-based Model

Number of pages: 21 Posted: 09 Mar 2023
Hongwei Bi, Xingchun Wang and Nanyi Zhang
University of International Business and Economics, University of International Business and Economics (UIBE) - School of International Trade and Economics and University of International Business and Economics
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Abstract:

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Vulnerable Spread Options, Intensity-based Model, Default Risk, Cox Process