A spread-based model for the valuation of credit derivatives with correlated defaults and counter-party risks

Chuang-Chang Chang and Yu Jih-Chieh

Year of publication:	2007
Authors:	Chang, Chuang-chang ; Yu, Jih-Chieh
Published in:	Research in finance. - Bingley [u.a.] : Emerald JAI, ISSN 0196-3821, ZDB-ID 447662-1. - Vol. 23.2006, p. 193-220
Subject:	Kreditrisiko \| Credit risk \| Derivat \| Derivative \| Kreditderivat \| Credit derivative \| Optionspreistheorie \| Option pricing theory \| Korrelation \| Correlation \| Insolvenz \| Insolvency \| Risiko \| Risk \| Swap

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