Pricing defaultable bonds in a Markov modulated market (Q2893288)
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scientific article; zbMATH DE number 6048112
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| default for all languages | No label defined |
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| English | Pricing defaultable bonds in a Markov modulated market |
scientific article; zbMATH DE number 6048112 |
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Pricing Defaultable Bonds in a Markov Modulated Market (English)
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20 June 2012
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Credit spread
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defaultable bond
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minimal martingale measure
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quadratic hedging
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structural approach
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0.7785577774047852
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0.7618891596794128
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0.7567703723907471
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0.7561272382736206
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