The martingale approach for credit-risky option pricing (Q3516646)
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scientific article; zbMATH DE number 5307325
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | The martingale approach for credit-risky option pricing |
scientific article; zbMATH DE number 5307325 |
Statements
6 August 2008
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Girsanov's theorem
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martingale representation
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credit risk
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equivalent martingale measure
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forward martingale measure
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0.8670329451560974
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0.8037171363830566
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0.8037171363830566
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0.7935076951980591
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