Valuation of vulnerable American options with correlated credit risk (Q2462884)
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scientific article; zbMATH DE number 5217744
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Valuation of vulnerable American options with correlated credit risk |
scientific article; zbMATH DE number 5217744 |
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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0.8041612505912781
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0.7907170653343201
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0.7886528372764587
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0.78287273645401
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0.7787960171699524
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