No-armageddon measure for arbitrage-free pricing of index options in a credit crisis (Q3100747)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: No-armageddon measure for arbitrage-free pricing of index options in a credit crisis |
scientific article; zbMATH DE number 5975634
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | No-armageddon measure for arbitrage-free pricing of index options in a credit crisis |
scientific article; zbMATH DE number 5975634 |
Statements
NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS (English)
0 references
21 November 2011
0 references
credit index options
0 references
subfiltrations
0 references
credit crunch
0 references
default correlation
0 references
market models
0 references
arbitrage
0 references
0.7266912460327148
0 references
0.7151162028312683
0 references
0.7093480825424194
0 references
0.7054817080497742
0 references
0.7035742402076721
0 references
