scientific article; zbMATH DE number 5690108

zbMATH Open1185.91003MaRDI QIDQ3550879FDOQ3550879

Authors: Aurélien Alfonsi 

Publication date: 7 April 2010

Full work available at URL: http://pastel.paristech.org/1859/

Title of this publication is not available (Why is that?)

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zbMATH Keywords

American optionscredit riskdiscretization schemeCIRcall-put duality

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40)

Cited In (7)

• Credit-Risk Modelling
• Model Risk in Finance: Some Modeling and Numerical Analysis Issues
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION
• Default barrier intensity model for credit risk evaluation
• Jacobi stochastic volatility factor for the LIBOR market model
• Credit risk valuation. Methods, models, and applications.

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