Valuation of vulnerable American options with correlated credit risk (Q2462884)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of vulnerable American options with correlated credit risk |
scientific article |
Statements
Valuation of vulnerable American options with correlated credit risk (English)
0 references
5 December 2007
0 references
American options
0 references
derivatives
0 references
default
0 references
credit risk
0 references
multi-exercisable
0 references
martingale
0 references
