Defaultable options in a Markovian intensity model of credit risk
Tomasz R. Bielecki; Stéphane Crépey; Monique Jeanblanc; Marek Rutkowski
| Year of publication: |
2008
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|---|---|
| Authors: | Bielecki, Tomasz R. ; Crépey, Stéphane ; Jeanblanc, Monique ; Rutkowski, Marek |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 18.2008, 4, p. 493-518
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| Subject: | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Markov-Kette | Markov chain | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003769008