A stochastic correlation model with time change for pricing credit spread options
Zhigang Tong, Allen Liu
| Year of publication: |
May 2017
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|---|---|
| Authors: | Tong, Zhigang ; Liu, Allen |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 7.2017, 2, p. 445-466
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| Subject: | Stochastic Correlation | Jacobi Process | Stochastic Time Change | Eigenfunction Expansion | Credit Spread Options | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Korrelation | Correlation | Optionsgeschäft | Option trading | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Kreditderivat | Credit derivative | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2017.72024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011673996