Pricing options with credit risk in a reduced form model (Q457616)
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scientific article; zbMATH DE number 6349081
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing options with credit risk in a reduced form model |
scientific article; zbMATH DE number 6349081 |
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Pricing options with credit risk in a reduced form model (English)
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29 September 2014
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stochastic interest rate
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intensity of default
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jump diffusion
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option pricing
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0.9638711
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0.9353981
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0.9123149
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0.89888966
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0.89659566
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0.89547956
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0.88848937
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0.8871616
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