Information asymmetry in pricing of credit derivatives
Caroline Hillairet; Ying Jiao
| Year of publication: |
2011
|
|---|---|
| Authors: | Hillairet, Caroline ; Jiao, Ying |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 5, p. 611-633
|
| Subject: | Asymmetric information | enlargement of filtrations | default threshold | risk neutral probability measures | pricing of credit derivatives | Asymmetrische Information | Derivat | Derivative | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Risiko | Risk | Kreditderivat | Credit derivative | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| 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/10009298523