Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Carl Chiarella; Viviana Fanelli; Silvana Musti
| Year of publication: |
2011
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|---|---|
| Authors: | Chiarella, Carl ; Fanelli, Viviana ; Musti, Silvana |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 208.2011, 2 (16.1.), p. 95-108
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| Subject: | Euler-Maruyama stochastic integral approximation | HJM (Heath-Jarrow-Morton) model | Kreditderivat | Credit derivative | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Monte-Carlo-Simulation | Monte Carlo simulation | Analysis | Mathematical analysis | Optionspreistheorie | Option pricing theory |
| 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/10008779603