Credit derivatives - Last option before the armageddon - The authors show how the pricing of credit index options depends on the probability of a financial portfolio 'armageddon'. They introduce a new equivalent pricing measure that lays the foundation for a market model framework in multi-name credit risk, leading also to practical implementation advantages. Examples show the formula has become ...
| Year of publication: |
2009
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|---|---|
| Authors: | Brigo, Damiano ; Morini, Massimo |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 22.2009, 9, p. 118-123
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