FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS (Q5010075)

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scientific article; zbMATH DE number 7384603
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FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS
scientific article; zbMATH DE number 7384603

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    FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS (English)
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    24 August 2021
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    successive default times
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    first-to-default and second-to-default options
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    geometric Brownian motion
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    initial and progressive enlargements of filtrations
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