A Markov chain model with stochastic default rate for valuation of credit spreads

Eiji Kodera

Year of publication:	2001
Authors:	Kodera, Eiji
Published in:	The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 8.2001, 4, p. 8-18
Subject:	Kreditrisiko \| Credit risk \| Insolvenz \| Insolvency \| Risikoprämie \| Risk premium \| Optionspreistheorie \| Option pricing theory \| Markov-Kette \| Markov chain \| Stochastischer Prozess \| Stochastic process \| Theorie \| Theory

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