Numerical valuation of basket credit derivatives in structural jump-diffusion models
Karolina Bujok; Christoph Reisinger
| Year of publication: |
2012
|
|---|---|
| Authors: | Bujok, Karolina ; Reisinger, Christoph |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 15.2011/12, 4, p. 115-158
|
| Subject: | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Kreditderivat | Credit derivative | Kredit | Credit | Stochastischer Prozess | Stochastic process |
| 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/10009575385