A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives (Q3116718)

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A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives
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    title
    A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives (English)
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    author
    Rangarajan K. Sundaram
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    Sanjiv Ranjan Das
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    publication date
    12 February 2012
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    Mathematics Subject Classification ID
    91G40
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    91G20
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    91B30
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    zbMATH DE Number
    6005842
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    zbMATH Keywords
    credit risk derivatives
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    no-arbitrage
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