A Defaultable Binomial Tree

In the study we present a fairly generalized two-level option tree that is capable of pricing credit-linked vanilla plain European/American and path-dependent options. The main contribution is thus an extension of a classical binomial tree methodology to a framework within which the underlying security is allowed to default

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Year of publication:	2013
Authors:	Kolman, Marek
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Insolvenz \| Insolvency \| Kreditrisiko \| Credit risk \| Statistische Verteilung \| Statistical distribution \| Entscheidungsbaum \| Decision tree

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