Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
Agostino Capponi; José E. Figueroa-López and Jeffrey Nisen
| Year of publication: |
2014
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|---|---|
| Authors: | Capponi, Agostino ; Figueroa-López, José E. ; Nisen, Jeffrey |
| 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. 24.2014, 2, p. 250-288
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| Subject: | credit risk | regime-switching models | option pricing | vulnerable claims | semimartingale representations | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Martingal | Martingale | CAPM | Markov-Kette | Markov chain |
| 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/10010357375