On pricing of credit spread options (Q704058)
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scientific article; zbMATH DE number 2127022
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | On pricing of credit spread options |
scientific article; zbMATH DE number 2127022 |
Statements
On pricing of credit spread options (English)
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12 January 2005
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Finance
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Credit spread options
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Stochastic processes
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Mean reversion
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Simulation
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0.8303115963935852
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0.8120113015174866
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0.7985116243362427
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0.7766540050506592
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