A unified framework for pricing credit and equity derivatives (Q3008488)
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scientific article; zbMATH DE number 5908415
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A unified framework for pricing credit and equity derivatives |
scientific article; zbMATH DE number 5908415 |
Statements
A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES (English)
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16 June 2011
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defaultable bond
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defaultable stock
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equity options
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stochastic interest rate
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implied volatility
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multiscale perturbation method
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0.809882640838623
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0.7827128767967224
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0.7800286412239075
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0.7774069905281067
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0.7697157263755798
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