Pricing options with credit risk in a reduced form model (Q457616): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1016/j.jkss.2012.01.006
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+W2029675411
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@@ Property / cites work @@
+Credit risk valuation. Methods, models, and applications.
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+A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Valuation of vulnerable American options with correlated credit risk
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+MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
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+Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
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+The credit risk and pricing of OTC options
@@ Property / cites work: The credit risk and pricing of OTC options / rank @@
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@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
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+CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
@@ Property / cites work: CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS / rank @@
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