Valuation of vulnerable American options with correlated credit risk (Q2462884): Difference between revisions
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Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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Property / cites work: The Numerical Evaluation of Certain Multivariate Normal Integrals / rank | |||
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Property / cites work: Martingales and stochastic integrals in the theory of continuous trading / rank | |||
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Property / cites work: Valuing American Options by Simulation: A Simple Least-Squares Approach / rank | |||
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Property / cites work: Q4905685 / rank | |||
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Latest revision as of 13:52, 27 June 2024
scientific article
Language | Label | Description | Also known as |
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English | Valuation of vulnerable American options with correlated credit risk |
scientific article |
Statements
Valuation of vulnerable American options with correlated credit risk (English)
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5 December 2007
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American options
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derivatives
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default
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credit risk
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multi-exercisable
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martingale
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