On pricing of credit spread options
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Publication:704058
DOI10.1016/J.EJOR.2003.12.005zbMATH Open1066.91075OpenAlexW2046276936MaRDI QIDQ704058FDOQ704058
Authors: Rosella Giacometti, Mariangela Teocchi 
Publication date: 12 January 2005
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2003.12.005
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Cites Work
Cited In (11)
- Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market
- Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
- Pricing European style credit spread options
- A spread-return mean-reverting model for credit spread dynamics
- Valuation of a credit spread put option: the stable Paretian model with copulas
- Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads -- an explanation by means of a quanto option
- Arithmetic Brownian motion and real options
- Valuing the flexibility of investing in security process innovations
- On the Pricing of Credit Spread Options: A Two Factor HW–BK Algorithm
- Pricing and Hedging Spread Options
- Pricing spread options with stochastic interest rates
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