Defaultable game options in a hazard process model
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Publication:1039923
DOI10.1155/2009/695798zbMath1191.91060OpenAlexW1992016665WikidataQ58648165 ScholiaQ58648165MaRDI QIDQ1039923
Marek Rutkowski, Stéphane Crépey, Tomasz R. Bielecki, Monique Jeanblanc-Picqué
Publication date: 23 November 2009
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/225981
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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