The model and valuation of exchange option with credit risk (Q4901737)
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scientific article; zbMATH DE number 6130161
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| English | The model and valuation of exchange option with credit risk |
scientific article; zbMATH DE number 6130161 |
Statements
24 January 2013
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doubly stochastic Poisson process
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credit risk
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default intensity
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equivalent martingale measure
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0.8547475337982178
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0.8544307947158813
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0.8381919860839844
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0.8266527652740479
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