Valuation of a credit spread put option: the stable Paretian model with copulas

MaRDI QIDQ3374061zbMATH OpenFDO

Authors Dylan D'Souza, Keyvan Amir-Atefi, Borjana Racheva-Jotova

Publication date 9 March 2006

zbMATH Keywords

copulascredit risk methodologyspot and intensity rate processes

Mathematics Subject Classification ID

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Cited in

(1)

• FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS

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