Pricing options with credit risk in a reduced form model
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Publication:457616
DOI10.1016/j.jkss.2012.01.006zbMath1296.91269OpenAlexW2029675411MaRDI QIDQ457616
Publication date: 29 September 2014
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2012.01.006
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Cites Work
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- The Pricing of Options and Corporate Liabilities
- Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
- A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
- Valuation of vulnerable American options with correlated credit risk
- The credit risk and pricing of OTC options
- MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
- CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
- Credit risk valuation. Methods, models, and applications.
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