Pricing vulnerable European options with stochastic default barriers (Q5432705)

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scientific article; zbMATH DE number 5221265
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Pricing vulnerable European options with stochastic default barriers
scientific article; zbMATH DE number 5221265

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    Pricing vulnerable European options with stochastic default barriers (English)
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    18 December 2007
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    option pricing
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    credit risk
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    derivatives
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