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

zbMATH Open1126.91364MaRDI QIDQ3374061FDOQ3374061

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

Publication date: 9 March 2006

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zbMATH Keywords

copulascredit risk methodologyspot and intensity rate processes

Mathematics Subject Classification ID

Cited In (1)

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

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