PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY (Q5488975)
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scientific article; zbMATH DE number 5056722
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY |
scientific article; zbMATH DE number 5056722 |
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PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY (English)
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25 September 2006
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bankruptcy
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credit risk
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hazard rate
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credit spread
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stock options
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implied volatility skew
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Asian options
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Brownian exponential functionals
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Schrödinger operator with Morse potential
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spectral expansions
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0.7576802968978882
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0.7469432950019836
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0.7360718250274658
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0.7336236834526062
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