NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS (Q3100747): Difference between revisions
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Revision as of 09:41, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS |
scientific article |
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NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS (English)
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21 November 2011
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credit index options
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subfiltrations
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credit crunch
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default correlation
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market models
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arbitrage
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