Valuing Vulnerable Basket Options with Stochastic Liquidity Risk in Reduced-form Models

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Bibliographic Details
Published inComputational economics
Main Authors Wang, Bohua, Wang, Xingchun, Zhao, Mengjie
Format Journal Article
LanguageEnglish
Published 26.11.2024
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ISSN:0927-7099
1572-9974
DOI:10.1007/s10614-024-10794-z