The valuation and behavior of Black-Scholes options subject to intertemporal default risk (Q375238)
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scientific article; zbMATH DE number 6220642
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| English | The valuation and behavior of Black-Scholes options subject to intertemporal default risk |
scientific article; zbMATH DE number 6220642 |
Statements
The valuation and behavior of Black-Scholes options subject to intertemporal default risk (English)
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29 October 2013
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default risk
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creditworthiness
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options
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margin requirements
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risk management
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default premium
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hedging
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derivatives
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forwards
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0.8023744821548462
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0.791790783405304
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0.7866325974464417
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